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Limit of the optimal weight in least squares model averaging with non-nested models

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  • Fang, Fang
  • Liu, Minhan

Abstract

Recently, there has been increasing interest in the asymptotic limits of the optimal weight and the model averaging estimator within frequentist paradigm. Most existing literatures assume the candidate models are nested in such studies and the extension to non-nested models are not trivial. In the paper, we derive the asymptotic limit of the optimal weight in least squares model averaging when the candidate models are non-nested and could be all under-fitted. This result provides more insights into least squares model averaging and a new technique for future studies.

Suggested Citation

  • Fang, Fang & Liu, Minhan, 2020. "Limit of the optimal weight in least squares model averaging with non-nested models," Economics Letters, Elsevier, vol. 196(C).
    • Handle: RePEc:eee:ecolet:v:196:y:2020:i:c:s0165176520303530
    DOI: 10.1016/j.econlet.2020.109586
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    References listed on IDEAS

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    1. Zhang, Xinyu, 2015. "Consistency of model averaging estimators," Economics Letters, Elsevier, vol. 130(C), pages 120-123.
    2. Zhang, Xinyu & Liu, Chu-An, 2019. "Inference After Model Averaging In Linear Regression Models," Econometric Theory, Cambridge University Press, vol. 35(4), pages 816-841, August.
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    5. Liu, Chu-An, 2015. "Distribution theory of the least squares averaging estimator," Journal of Econometrics, Elsevier, vol. 186(1), pages 142-159.
    6. Xinyu Zhang & Guohua Zou & Hua Liang & Raymond J. Carroll, 2020. "Parsimonious Model Averaging With a Diverging Number of Parameters," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 115(530), pages 972-984, April.
    7. Hansen, Bruce E. & Racine, Jeffrey S., 2012. "Jackknife model averaging," Journal of Econometrics, Elsevier, vol. 167(1), pages 38-46.
    8. Rong Zhu & Alan T. K. Wan & Xinyu Zhang & Guohua Zou, 2019. "A Mallows-Type Model Averaging Estimator for the Varying-Coefficient Partially Linear Model," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 114(526), pages 882-892, April.
    9. Bruce E. Hansen, 2007. "Least Squares Model Averaging," Econometrica, Econometric Society, vol. 75(4), pages 1175-1189, July.
    10. Liao, Jun & Zong, Xianpeng & Zhang, Xinyu & Zou, Guohua, 2019. "Model averaging based on leave-subject-out cross-validation for vector autoregressions," Journal of Econometrics, Elsevier, vol. 209(1), pages 35-60.
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    Cited by:

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    More about this item

    Keywords

    Asymptotic limit; Frequentist model averaging; Linear models; Mallows model averaging; Non-nested models;
    All these keywords.

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling

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