Baiardi, D. and Morana, C. Financial Deepening and Income Distribution Inequality in the Euro Area. Department of Economics, Management and Statistics, University of Milan Bicocca, Working Paper No. 316.

has been cited by the following article:

• TITLE: Model Averaging by Stacking

  AUTHORS: Claudio Morana

  KEYWORDS: Model Averaging; Model Uncertainty

  JOURNAL NAME: Open Journal of Statistics, Vol.5 No.7, December 30, 2015

  ABSTRACT: The paper introduces a new Frequentist model averaging estimation procedure, based on a stacked OLS estimator across models, implementable on cross-sectional, panel, as well as time series data. The proposed estimator shows the same optimal properties of the OLS estimator under the usual set of assumptions concerning the population regression model. Relatively to available alternative approaches, it has the advantage of performing model averaging exante in a single step, optimally selecting models’ weight according to the MSE metric, i.e. by minimizing the squared Euclidean distance between actual and predicted value vectors. Moreover, it is straightforward to implement, only requiring the estimation of a single OLS augmented regression. By exploiting exante a broader information set and benefiting of more degrees of freedom, the proposed approach yields more accurate and (relatively) more efficient estimation than available expost methods.