The distribution of model averaging estimators and an impossibility result regarding its estima\-tion

MaRDI QIDQ5326962zbMATH OpenFDO

Authors Benedikt M. Pötscher

Publication date 1 August 2013

Full work available at URL https://arxiv.org/abs/math/0702781

zbMATH Keywords

model selectionasymptotic distributionsestimation of distributionmodel mixingmodel aggregationfinite sample distributionscombination of estimators

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Point estimation (62F10) Linear regression; mixed models (62J05) Asymptotic distribution theory in statistics (62E20)

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Cited in

(15)

• On various confidence intervals post-model-selection
• Jackknife model averaging for quantile regressions
• Least squares model averaging by Mallows criterion
• Inference after model averaging in linear regression models
• Model selection and model averaging after multiple imputation
• Distributional results for thresholding estimators in high-dimensional Gaussian regression models
• Consistency of averaged impulse response estimators in vector autoregressive models
• Distribution theory of the least squares averaging estimator
• When and when not to use optimal model averaging
• Estimating the variance of a combined forecast: bootstrap-based approach
• Valid post-selection inference
• Choice of weights in FMA estimators under general parametric models
• Consistency of model averaging estimators
• On the distribution of penalized maximum likelihood estimators: the LASSO, SCAD, and thresholding
• Robust inference in AR-G/GARCH models under model uncertainty

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