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.

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

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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. Published in: IMS Lecture Notes , Vol. 52, (2006): pp. 113-129.
Classification:	C51 - Model Construction and Estimation ; C20 - Econometric Methods: Single Equation Models. General ; C12 - Hypothesis Testing ; C13 - Estimation ; C52 - Model Evaluation and Testing
Source:	BASE

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015219243