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- Title
A Combination Method for Averaging OLS and GLS Estimators †.
- Authors
Liu, Qingfeng; Vasnev, Andrey L.
- Abstract
To avoid the risk of misspecification between homoscedastic and heteroscedastic models, we propose a combination method based on ordinary least-squares (OLS) and generalized least-squares (GLS) model-averaging estimators. To select optimal weights for the combination, we suggest two information criteria and propose feasible versions that work even when the variance-covariance matrix is unknown. The optimality of the method is proven under some regularity conditions. The results of a Monte Carlo simulation demonstrate that the method is adaptive in the sense that it achieves almost the same estimation accuracy as if the homoscedasticity or heteroscedasticity of the error term were known.
- Subjects
MONTE Carlo method; MATHEMATICAL combinations; HOMOSCEDASTICITY
- Publication
Econometrics (2225-1146), 2019, Vol 7, Issue 3, p38
- ISSN
2225-1146
- Publication type
Article
- DOI
10.3390/econometrics7030038