This note is in response to a recent paper by Hansen (2007, Econometrica) who proposed an optimal model average estimator with weights selected by minimizing a Mallows criterion. The main contribution of Hansen's paper is a demonstration that the Mallows criterion is asymptotically equivalent to...

This article studies optimal model averaging for partially linear models with heteroscedasticity. A Mallows-type criterion is proposed to choose the weight. The resulting model averaging estimator is proved to be asymptotically optimal under some regularity conditions. Simulation experiments...

In multi-level organizations, BU employees create budgetary slack from which the entire business unit may benefit but doing so causes agency costs for the organization. Relying on social identity theory, we predict and find, in data gathered by means of an experiment, that shortening the social...

To address the empirical phenomenon that organizations often reward time on the job as an end in itself, we design an experiment in which participants solve anagram puzzles, manipulating whether a compensation pool generated from the output of paired workers is allocated based on the individual...

Multimodel inference makes statistical inferences from a set of plausible models rather than from a single model. In this paper, we focus on the multimodel inference based on smoothed information criteria proposed by seminal monographs Buckland et al. (1997) and Burnham and Anderson (2003),...

This note is in response to a recent paper by Hansen (2007, Econometrica) who proposed an optimal model average estimator with weights selected by minimizing a Mallows criterion. The main contribution of Hansen's paper is a demonstration that the Mallows criterion is asymptotically equivalent to...

Multimodel inference makes statistical inferences from a set of plausible models rather than from a single model. In this paper, we focus on the multimodel inference based on smoothed information criteria proposed by monographs Buckland et al. (1997) and Burnham & Anderson (2003), which are...

This paper considers estimating the slope parameters and forecasting in potentially heterogeneous panel data regressions with a long time dimension. We propose a novel optimal pooling averaging estimator that makes an explicit trade-off between efficiency gains from pooling and bias due to...