The Distribution of Model Averaging Estimators and an Impossibility Result Regarding Its Estimation

The finite-sample as well as the asymptotic distribution of Leung and Barron's (2006) model averaging estimator are derived in the context of a linear regression model. An impossibility result regarding the estimation of the finite-sample distribution of the model averaging estimator is obtained.

MoreLess

Year of publication:	2006-03
Authors:	Pötscher, Benedikt M.

More details

Type of publication:	Book / Working Paper
Language:	English
Notes:	Pötscher, Benedikt M. (2006): The Distribution of Model Averaging Estimators and an Impossibility Result Regarding Its Estimation. Forthcoming in: IMS Lecture Notes
Classification:	C51 - Model Construction and Estimation ; C20 - Econometric Methods: Single Equation Models. General ; C13 - Estimation ; C52 - Model Evaluation and Testing ; C12 - Hypothesis Testing
Source:	BASE

Persistent link: https://www.econbiz.de/10015252850