A class of model averaging estimators

DOI10.1016/J.ECONLET.2017.10.023MaRDI QIDQ1787243zbMATH OpenOpenAlexFDO

Authors Aman Ullah, Xinyu Zhang, Shangwei Zhao

Publication date 5 October 2018

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2017.10.023

zbMATH Keywords

mean squared errormodel averagingsufficient conditionfinite sample size

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Applications of statistics to economics (62P20)

Recommendations

• On the dominance of Mallows model averaging estimator over ordinary least squares estimator
• Consistency of model averaging estimators
• Model averaging based on generalized method of moments
• Model averaging based on James-Stein estimators
• Model averaging with averaging covariance matrix

Cites work

• A comparison of two model averaging techniques with an application to growth empirics
• Bayesian model averaging: A tutorial. (with comments and a rejoinder).
• Distribution theory of the least squares averaging estimator
• Estimation of the mean of a multivariate normal distribution
• Estimation with quadratic loss.
• Focused information criterion and model averaging for generalized additive partial linear models
• Frequentist Model Average Estimators
• Least Squares Model Averaging
• Model averaging based on Kullback-Leibler distance
• Model averaging, asymptotic risk, and regressor groups
• On the dominance of Mallows model averaging estimator over ordinary least squares estimator
• Optimal weight choice for frequentist model average estimators
• Simultaneous Regression Shrinkage, Variable Selection, and Supervised Clustering of Predictors with OSCAR
• Weighted average least squares estimation with nonspherical disturbances and an application to the Hong Kong housing market

Cited in

(8)

• Averaging estimators for discrete choice by \(M\)-fold cross-validation
• Model averaging, asymptotic risk, and regressor groups
• scientific article; zbMATH DE number 7448633 (Why is no real title available?)
• On the dominance of Mallows model averaging estimator over ordinary least squares estimator
• Model averaging with averaging covariance matrix
• Model averaging based on James-Stein estimators
• Consistency of model averaging estimators
• Corrected Mallows criterion for model averaging

Describes a project that uses

Uses Software

• OSCAR

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