This paper studies grouped model averaging methods for finite sample size situation. Sufficient conditions under which the grouped model averaging estimator dominates the ordinary least squares estimator are provided. A class of grouped model averaging estimators, g-class, is introduced, and its...

In recent years, the suggestion of combining models as an alternative to selecting a single model from a frequentist prospective has been advanced in a number of studies. In this paper, we propose a new semi-parametric estimator of regression coe¢ cients, which is in the form of a feasible...