publication . Article . 2018

INFERENCE AFTER MODEL AVERAGING IN LINEAR REGRESSION MODELS

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, Copyright policy)
  • Publisher: Cambridge University Press (CUP)
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...
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
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