Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/247538 
Year of Publication: 
2019
Citation: 
[Journal:] Econometrics [ISSN:] 2225-1146 [Volume:] 7 [Issue:] 3 [Publisher:] MDPI [Place:] Basel [Year:] 2019 [Pages:] 1-12
Publisher: 
MDPI, Basel
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: 
combination method
GLS
model averaging
OLS
Persistent Identifier of the first edition: 
Creative Commons License: 
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Document Type: 
Article

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