2006/01/01 by Benedikt M. Pötscher
Economics, Econometrics and Finance · Mathematics · #Advanced Statistical Methods and Models #Financial Risk and Volatility Modeling #Statistical Methods and Inference #math.ST #msc:62E15 #msc:62F10 #msc:62F12 #msc:62J05 #msc:62J07 #stat.ME #stat.TH
paper · pdf · doi:10.1214/074921706000000987
published as IMS Lecture Notes Monograph Series 2006, Vol. 52, 113-129 · Published at http://dx.doi.org/10.1214/074921706000000987 in the IMS Lecture Notes Monograph Series (http://www.imstat.org/publications/lecnotes.htm) by the Institute of Mathematical Statistics (http://www.imstat.org)
openalex publication_date 2006/01/01 · arxiv created 2007/02/26 · arxiv updated 2009/12/01 · openalex created_date 2016/06/24 · openalex updated_date 2026/07/31
<!-- *** Custom HTML *** --> 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.