IDEAS home Printed from https://ideas.repec.org/p/qed/wpaper/1535.html
   My bibliography  Save this paper

Frequentist Model Averaging with Nash Bargaining: A Stochastic Dominance Approach

Author

Listed:
  • Stelios Arvanitis

    (Department of Economics, AUEB)

Abstract

Within the Frequentist Model Averaging framework for linear models, we introduce a multi-objective model averaging methodology that extends both the generalized Jackknife Model Averaging (JMA) and the Mallows Model Averaging (MMA) criteria. Our approach constructs estimators based on stochastic dominance principles and explores averaging methods that minimize multiple scalarizations of the joint criterion integrating MMA and JMA. Additionally, we propose an estimator that can be interpreted as a Nash bargaining solution between the competing scalar criteria. We establish the asymptotic properties of these estimators under both correct specification and global misspecification. Monte Carlo simulations demonstrate that some of the proposed averaging estimators outperform JMA and MMA in terms of MSE/MAE. In an empirical application to economic growth data, our model averaging methods assign greater weight to fundamental Solow-type growth variables while also incorporating regressors that capture the role of geography and institutional quality.

Suggested Citation

  • Stelios Arvanitis, 2025. "Frequentist Model Averaging with Nash Bargaining: A Stochastic Dominance Approach," Working Paper 1535, Economics Department, Queen's University.
  • Handle: RePEc:qed:wpaper:1535
    as

    Download full text from publisher

    File URL: https://www.econ.queensu.ca/sites/econ.queensu.ca/files/wpaper/qed_wp_1535.pdf
    File Function: First version 2025
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    frequentistic model averaging; Jacknife MA; Mallows MA; multi-objective optimization; stochastic dominance; approximate bound; â„“p-scalarization; Nash bargaining solution; growth regressions;
    All these keywords.

    JEL classification:

    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:qed:wpaper:1535. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Mark Babcock (email available below). General contact details of provider: https://edirc.repec.org/data/qedquca.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.