A0386
Title: On asymptotic optimality of least squares model averaging when true model is included
Authors: Wenchao Xu - Shanghai University of International Business and Economics (China) [presenting]
Abstract: Asymptotic optimality is a key theoretical property in model averaging. Due to technical difficulties, existing studies rely on restricted weight sets or the assumption that there is no true model with fixed dimensions in the candidate set. The focus is to overcome these difficulties. Surprisingly, it is discovered that when the penalty factor in the weight selection criterion diverges with a certain order and the true model dimension is fixed, asymptotic loss optimality does not hold, but asymptotic risk optimality does. This result differs from the corresponding result of a recent study and reveals that using the discrete weight set in another study can yield opposite asymptotic properties compared to using the usual weight set. Simulation studies illustrate the theoretical findings in a variety of settings.
