This paper proposed a model averaging method, which is called Generalized Mallows’ Cp model averaging (GC). It works well for heteroskedastic models. Under some regularity conditions, we show that our GC has asymptotic optimality as a model averaging method, and also has asymptotic optimality...

This paper proposes a method of averaging generalized least squares (GLS) estimators for linear regression models with heteroskedastic errors. We derive two kinds of Mallows' Cp criteria, calculated from the estimates of the mean of the squared errors of the tted value based on the averaged GLS...