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  • Ankargren, Sebastian, et al. (author)
  • On the least-squares model averaging interval estimator
  • 2018
  • In: Communications in Statistics - Theory and Methods. - : Informa UK Limited. - 0361-0926 .- 1532-415X. ; 47:1, s. 118-132
  • Journal article (peer-reviewed)abstract
    • In many applications of linear regression models, randomness due to model selection is commonly ignored in post-model selection inference. In order to account for the model selection uncertainty, least-squares frequentist model averaging has been proposed recently. We show that the confidence interval from model averaging is asymptotically equivalent to the confidence interval from the full model. The finite-sample confidence intervals based on approximations to the asymptotic distributions are also equivalent if the parameter of interest is a linear function of the regression coefficients. Furthermore, we demonstrate that this equivalence also holds for prediction intervals constructed in the same fashion.
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Type of publication
journal article (1)
Type of content
peer-reviewed (1)
Author/Editor
Jin, Shaobo, 1987- (1)
Ankargren, Sebastian (1)
University
Uppsala University (1)
Language
English (1)
Research subject (UKÄ/SCB)
Natural sciences (1)
Year
2018 (1)

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