Model Averaging Based on Kullback-Leibler Distance
نویسندگان
چکیده
منابع مشابه
Model Averaging Based on Kullback-leibler Distance.
This paper proposes a model averaging method based on Kullback-Leibler distance under a homoscedastic normal error term. The resulting model average estimator is proved to be asymptotically optimal. When combining least squares estimators, the model average estimator is shown to have the same large sample properties as the Mallows model average (MMA) estimator developed by Hansen (2007). We sho...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2012
ISSN: 1556-5068
DOI: 10.2139/ssrn.2160119