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Model Averaging by Stacking

Listed author(s):
  • Claudio Morana

    ()

    (Department of Economics, University of Milan-Bicocca, Italy; The Rimini Centre for Economic Analysis, Italy)

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 ex-ante in a single step, optimally selecting models’ 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.

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File URL: http://www.rcea.org/RePEc/pdf/wp15-38.pdf
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Paper provided by The Rimini Centre for Economic Analysis in its series Working Paper Series with number 15-38.

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Date of creation: Oct 2015
Handle: RePEc:rim:rimwps:15-38
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  1. Claeskens,Gerda & Hjort,Nils Lid, 2008. "Model Selection and Model Averaging," Cambridge Books, Cambridge University Press, number 9780521852258, October.
  2. Bruce E. Hansen, 2007. "Least Squares Model Averaging," Econometrica, Econometric Society, vol. 75(4), pages 1175-1189, 07.
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