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A class of model averaging estimators
- Zhao, Shangwei, Ullah, Aman, Zhang, Xinyu
- Economics letters 2018 v.162 pp. 101-106
- economics, models
- Model averaging aims to a trade-off between efficiency and biases. In this paper, a class of model averaging estimators, g-class, is introduced, and its dominance condition over the ordinary least squares estimator is established. All theoretical findings are verified by simulations.