Model averaging with covariates that are missing completely at random
AbstractMissing data is a common problem in economics studies. We propose using Mallows model averaging (MMA) to deal with this problem, which has an important advantage over its competitors in that it asymptotically achieves the lowest possible squared error. A simulation study in comparison with existing methods strongly favors the MMA estimator.
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 121 (2013)
Issue (Month): 3 ()
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Web page: http://www.elsevier.com/locate/ecolet
Asymptotic optimality; Mallows model averaging; Missing data;
Find related papers by JEL classification:
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
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- repec:taf:jnlbes:v:30:y:2012:i:1:p:132-142 is not listed on IDEAS
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