A class of model averaging estimators

DOI10.1016/J.ECONLET.2017.10.023zbMATH Open1401.62113OpenAlexW2767396564MaRDI QIDQ1787243FDOQ1787243

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

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

zbMATH Keywords

mean squared errormodel averagingsufficient conditionfinite sample size

Mathematics Subject Classification ID

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

Cites Work

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

Cited In (8)

• Averaging estimators for discrete choice by \(M\)-fold cross-validation
• Model averaging, asymptotic risk, and regressor groups
• Title not available (Why is that?)
• 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

Uses Software

• OSCAR

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