INFERENCE AFTER MODEL AVERAGING IN LINEAR REGRESSION MODELS

Zhang, XY; Liu, CA

Liu, CA (reprint author), Acad Sinica, Inst Econ, Taipei 115, Taiwan.

ECONOMETRIC THEORY, 2019; 35 (4): 816

Abstract

This article considers the problem of inference for nested least squares averaging estimators. We study the asymptotic behavior of the Mallows model a......

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