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

Abstract

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.Comment: Published at http://dx.doi.org/10.1214/074921706000000987 in the IMS Lecture Notes Monograph Series (http://www.imstat.org/publications/lecnotes.htm) by the Institute of Mathematical Statistics (http://www.imstat.org