publication . Article . 2018

INFERENCE AFTER MODEL AVERAGING IN LINEAR REGRESSION MODELS

Name: INFERENCE AFTER MODEL AVERAGING IN LINEAR REGRESSION MODELS
Keywords: Economics and Econometrics, Social Sciences (miscellaneous)

Chu-An Liu; Xinyu Zhang;

Open Access

Published: 04 Sep 2018 Journal: Econometric Theory, volume 35, pages 816-841 (issn: 0266-4666, eissn: 1469-4360,

Publisher: Cambridge University Press (CUP)

Summary

Abstract

This paper considers the problem of inference for nested least squares averaging estimators. We study the asymptotic behavior of the Mallows model averaging estimator (MMA; Hansen, 2007) and the jackknife model averaging estimator (JMA; Hansen and Racine, 2012) under the standard asymptotics with fixed parameters setup. We find that both MMA and JMA estimators asymptotically assign zero weight to the under-fitted models, and MMA and JMA weights of just-fitted and over-fitted models are asymptotically random. Building on the asymptotic behavior of model weights, we derive the asymptotic distributions of MMA and JMA estimators and propose a simulation-based confid...

doi: 10.1017/s0266466618000269 , 10.2139/ssrn.3039829

Subjects

free text keywords: Economics and Econometrics, Social Sciences (miscellaneous), Linear model, Least squares, Jackknife resampling, Bayesian linear regression, Statistics, Asymptotic analysis, Applied mathematics, Mathematics, Fiducial inference, Estimator, Polynomial regression, Linear regression, Inference

Download fromView all 2 versions