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The Distribution of Model Averaging Estimators and an Impossibility Result Regarding Its Estimation

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Pötscher, Benedikt M.

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Abstract

The finite-sample as well as the asymptotic distribution of Leung and Barron's (2006) model averaging estimator are derived in the context of a linear regression model. An impossibility result regarding the estimation of the finite-sample distribution of the model averaging estimator is obtained.

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File URL: http://mpra.ub.uni-muenchen.de/73/
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File URL: http://mpra.ub.uni-muenchen.de/1893/
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Publisher Info
Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 73.

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Date of creation: Mar 2006
Date of revision: Jul 2006
Handle: RePEc:pra:mprapa:73

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Related research
Keywords: Model mixing model aggregation combination of estimators model selection finite sample distribution asymptotic distribution estimation of distribution

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Find related papers by JEL classification:
C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General
C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing
C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Estimation
C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation and Testing

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Hannes Leeb & Benedikt M. Poetscher, 2000. "The Finite-Sample Distribution of Post-Model-Selection Estimators, and Uniform Versus Non-Uniform Approximations," Econometrics 0004001, EconWPA. [Downloadable!]
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  2. Leeb, Hannes & P tscher, Benedikt M., 2005. "Model Selection And Inference: Facts And Fiction," Econometric Theory, Cambridge University Press, vol. 21(01), pages 21-59, February. [Downloadable!]
  3. Hannes Leeb & Benedikt M. Pötscher, 2003. "Performance Limits for Estimators of the Risk or Distribution of Shrinkage-Type Estimators, and Some General Lower Risk-Bound Results," Vienna Economics Papers 0301, University of Vienna, Department of Economics. [Downloadable!]
    Other versions:
  4. Leeb, Hannes & Pötscher, Benedikt M., 2005. "Can One Estimate the Unconditional Distribution of Post-Model-Selection Estimators ?," MPRA Paper 72, University Library of Munich, Germany, revised Feb 2007. [Downloadable!]
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  5. Jan R. Magnus, 2002. "Estimation of the mean of a univariate normal distribution with known variance," Econometrics Journal, Royal Economic Society, vol. 5(1), pages 225-236, June. [Downloadable!] (restricted)
  6. Yang, Yuhong, 2004. "Combining Forecasting Procedures: Some Theoretical Results," Econometric Theory, Cambridge University Press, vol. 20(01), pages 176-222, March. [Downloadable!]
  7. Hjort N.L. & Claeskens G., 2003. "Frequentist Model Average Estimators," Journal of the American Statistical Association, American Statistical Association, vol. 98, pages 879-899, January. [Downloadable!] (restricted)
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Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Pötscher, Benedikt M. & Schneider, Ulrike, 2007. "On the distribution of the adaptive LASSO estimator," MPRA Paper 6913, University Library of Munich, Germany. [Downloadable!]
  2. Pötscher, Benedikt M. & Leeb, Hannes, 2007. "On the distribution of penalized maximum likelihood estimators: The LASSO, SCAD, and thresholding," MPRA Paper 5615, University Library of Munich, Germany. [Downloadable!]
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