This paper examines the asymptotic risk of nested least-squares averaging estimators when the averaging weights are selected to minimize a penalized least-squares criterion. We find conditions under which the asymptotic risk of the averaging estimator is globally smaller than the unrestricted...

This paper examines the asymptotic risk of nested least-squares averaging estimators when the averaging weights are selected to minimize a penalized least-squares criterion. We find conditions under which the asymptotic risk of the averaging estimator is globally smaller than the unrestricted...