Article ID Journal Published Year Pages File Type
5058264 Economics Letters 2016 5 Pages PDF
Abstract

This note studies Mallows model averaging method for finite sample size situation. Sufficient conditions under which the model averaging estimator dominates the ordinary least squares estimator are provided with respect to mean squared error.

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Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
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On the dominance of Mallows model averaging estimator over ordinary least squares estimator
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