Model Averaging by Stacking
The paper introduces a new Frequentist model averaging estimation procedure, based on a stacked OLS estimator across models, implementable on cross-sectional, panel, as well as time series data. The proposed estimator shows the same optimal properties of the OLS estimator under the usual set of assumptions concerning the population regression model. Relatively to available alternative approaches, it has the advantage of performing model averaging exante in a single step, optimally selecting modelsâ€™ weight according to the MSE metric, i.e., by minimizing the squared Euclidean distance between actual and predicted value vectors. Moreover, it is straightforward to implement, only requiring the estimation of a single OLS augmented regression. By exploiting ex-ante a broader information set and benefiting of more degrees of freedom, the proposed approach yields more accurate and (relatively) more efficient estimation than available ex-post methods.
|Date of creation:||29 Oct 2015|
|Date of revision:||29 Oct 2015|
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- Claeskens,Gerda & Hjort,Nils Lid, 2008. "Model Selection and Model Averaging," Cambridge Books, Cambridge University Press, number 9780521852258, August.
- Bruce E. Hansen, 2007. "Least Squares Model Averaging," Econometrica, Econometric Society, vol. 75(4), pages 1175-1189, 07.