The distribution of model averaging estimators and an impossibility result regarding its estima\-tion
zbMATH Open1268.62066arXivmath/0702781MaRDI QIDQ5326962FDOQ5326962
Authors: Benedikt M. Pötscher 
Publication date: 1 August 2013
Full work available at URL: https://arxiv.org/abs/math/0702781
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model selectionasymptotic distributionsestimation of distributionmodel mixingmodel aggregationfinite sample distributionscombination of estimators
Exact distribution theory in statistics (62E15) Point estimation (62F10) Linear regression; mixed models (62J05) Asymptotic distribution theory in statistics (62E20)
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
- Consistency of averaged impulse response estimators in vector autoregressive models
- Distributional results for thresholding estimators in high-dimensional Gaussian regression 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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