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Grouped Model Averaging for Finite Sample Size

Author

Listed:
  • Aman Ullah

    (Department of Economics, University of California Riverside)

  • Xinyu Zhang

    (Chinese Academy of Sciences)

Abstract

This paper studies grouped model averaging methods for finite sample size situation. Sufficient conditions under which the grouped model averaging estimator dominates the ordinary least squares estimator are provided. A class of grouped model averaging estimators, g-class, is introduced, and its dominance condition over the ordinary least squares is established. All theoretical findings are verified by simulation examples. We also apply the methods to the analysis of the grain output data of China.

Suggested Citation

  • Aman Ullah & Xinyu Zhang, 2015. "Grouped Model Averaging for Finite Sample Size," Working Papers 201501, University of California at Riverside, Department of Economics.
    • Handle: RePEc:ucr:wpaper:201501
    as

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    File URL: https://economics.ucr.edu/repec/ucr/wpaper/201501.pdf
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Finite Sample Size; Mean Squared Error; Model Averaging; Sufficient Condition.;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models

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