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The distribution of model averaging estimators and an impossibility result regarding its estimation

Benedikt M. Pötscher
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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.

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Benedikt M. Pötscher. 2007-02-26. The distribution of model averaging estimators and an impossibility result regarding its estimation. https://doi.org/10.1214/074921706000000987

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