Mean-shift least squares model averaging
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This paper proposes a new estimator for selecting weights to average over least squares estimates obtained from a set of models. Our proposed estimator builds on the Mallows model average (MMA) estimator of Hansen (2007), but, unlike MMA, simultaneously controls for location bias and regression error through a common constant. We show that our proposed estimator– the mean-shift Mallows model average (MSA) estimator– is asymptotically optimal to the original MMA estimator in terms of mean squared error. A simulation study is presented, where we show that our proposed estimator uniformly outperforms the MMA estimator.
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