The distribution of model averaging estimators and an impossibility result regarding its estimation

Details The distribution of model averaging estimators and an impossibility result regarding its estimation The distribution of model averaging estimators and an impossibility result regarding its estimation

2007-02-26

arxiv.org/abs/math/0702781v1

IMS Lecture Notes Monograph Series 2006, Vol. 52, 113-129

Mathematics

Statistics Theory

Published at http://dx.doi.org/10.1214/074921706000000987 in the IMS Lecture Notes Monograph Series (http://www.imstat.org/p

Scientific paper

10.1214/074921706000000987

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.

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