Liu, Chu-An - In: Journal of Econometrics 186 (2015) 1, pp. 142-159
develop a plug-in averaging estimator that minimizes the sample analog of the asymptotic mean squared error. We investigate … the focused information criterion (Claeskens and Hjort, 2003), the plug-in averaging estimator, the Mallows model … probability. Monte Carlo simulations show that the plug-in averaging estimator generally has smaller expected squared error than …