2024/11/14 by Wenchao Xu, Xinyu Zhang, Xu, Wenchao +1
Computer Science · Mathematics · #Econometrics (econ.EM) #FOS: Economics and business #FOS: Mathematics #Matrix Theory and Algorithms #Statistical and numerical algorithms #Statistics Theory (math.ST)
paper · pdf · doi:10.48550/arxiv.2411.09258
openalex publication_date 2024/11/14 · openalex created_date 2024/11/17 · openalex updated_date 2026/07/28
Asymptotic optimality is a key theoretical property in model averaging. Due to technical difficulties, existing studies rely on restricted weight sets or the assumption that there is no true model with fixed dimensions in the candidate set. The focus of this paper is to overcome these difficulties. Surprisingly, we discover that when the penalty factor in the weight selection criterion diverges with a certain order and the true model dimension is fixed, asymptotic loss optimality does not hold, but asymptotic risk optimality does. This result differs from the corresponding result of Fang et al. (2023, Econometric Theory 39, 412-441) and reveals that using the discrete weight set of Hansen (2007, Econometrica 75, 1175-1189) can yield opposite asymptotic properties compared to using the usual weight set. Simulation studies illustrate the theoretical findings in a variety of settings.