The distribution of model averaging estimators and an impossibility result regarding its estimation
classification
🧮 math.ST
stat.MEstat.TH
keywords
modelaveragingdistributionestimationestimatorfinite-sampleimpossibilityregarding
read the original abstract
The finite-sample as well as the asymptotic distribution of Leung and Barron's (2006) model averaging estimator are derived in the context of a linear regression model. An impossibility result regarding the estimation of the finite-sample distribution of the model averaging estimator is obtained.
This paper has not been read by Pith yet.
discussion (0)
Sign in with ORCID, Apple, or X to comment. Anyone can read and Pith papers without signing in.