This note is in response to a recent paper by Hansen (2007, Econometrica) who proposed an optimal model average estimator with weights selected by minimizing a Mallows criterion. The main contribution of Hansen's paper is a demonstration that the Mallows criterion is asymptotically equivalent to...

This note is in response to a recent paper by Hansen (2007, Econometrica) who proposed an optimal model average estimator with weights selected by minimizing a Mallows criterion. The main contribution of Hansen's paper is a demonstration that the Mallows criterion is asymptotically equivalent to...

In this paper, we propose an efficient weighted average estimator in Seemingly Unrelated Regressions. This average estimator shrinks a generalized least squares (GLS) estimator towards a restricted GLS estimator, where the restrictions represent possible parameter homogeneity specifications. The...