Least squares model averaging by Mallows criterion
This paper is in response to a recent paper by Hansen (2007) who proposed an optimal model average estimator with weights selected by minimizing a Mallows criterion. The main contribution of Hansen's paper is a demonstration that the Mallows criterion is asymptotically equivalent to the squared error, so the model average estimator that minimizes the Mallows criterion also minimizes the squared error in large samples. We are concerned with two assumptions that accompany Hansen's approach. The first is the assumption that the approximating models are strictly nested in a way that depends on the ordering of regressors. Often there is no clear basis for the ordering and the approach does not permit non-nested models which are more realistic from a practical viewpoint. Second, for the optimality result to hold the model weights are required to lie within a special discrete set. In fact, Hansen noted both difficulties and called for extensions of the proof techniques. We provide an alternative proof which shows that the result on the optimality of the Mallows criterion in fact holds for continuous model weights and under a non-nested set-up that allows any linear combination of regressors in the approximating models that make up the model average estimator. These results provide a stronger theoretical basis for the use of the Mallows criterion in model averaging by strengthening existing findings.
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- Yuan, Zheng & Yang, Yuhong, 2005. "Combining Linear Regression Models: When and How?," Journal of the American Statistical Association, American Statistical Association, vol. 100, pages 1202-1214, December.
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- 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.
- Yang Y., 2001. "Adaptive Regression by Mixing," Journal of the American Statistical Association, American Statistical Association, vol. 96, pages 574-588, June.
- Pötscher, Benedikt M., 2006. "The Distribution of Model Averaging Estimators and an Impossibility Result Regarding Its Estimation," MPRA Paper 73, University Library of Munich, Germany, revised Jul 2006.
- Leeb, Hannes & P tscher, Benedikt M., 2003. "The Finite-Sample Distribution Of Post-Model-Selection Estimators And Uniform Versus Nonuniform Approximations," Econometric Theory, Cambridge University Press, vol. 19(01), pages 100-142, February.
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- Bruce E. Hansen, 2007. "Least Squares Model Averaging," Econometrica, Econometric Society, vol. 75(4), pages 1175-1189, 07. Full references (including those not matched with items on IDEAS)
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