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Research Highlights

Inference after Model Averaging in Linear Regression Models (with Xinyu Zhang, published in ECONOMETRIC THEORY)

  • Author Xinyu Zhang
    Chu-An Liu
  • Abstract This article 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 confidence interval for the least squares averaging estimator. Monte Carlo simulations show that the coverage probabilities of proposed confidence intervals achieve the nominal level.
  • Link https://www.cambridge.org/core/journals/econometric-theory/article/inference-after-model-averaging-in-linear-regression-models/00FD087C8BF1D637670F98B972ED345E(Open New Window)