Distribution Theory of the Least Squares Averaging Estimator

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Model Averaging and Its Use in Economics (2017, background): “y 32 models (see Subsection 5.2). Here the model space only reﬂects speciﬁcation uncertainty. An example of theory uncertainty leading to a model space with a limited number of models can be found in Liu (2015), who compares WALS and various FMA methods on cross-country growth regressions. Following”
Weighted‐Average Least Squares (WALS): A Survey (2016, unknown): “Similar comparisons between WALS and other frequentist-based model-average estimators can be found in Liu (2014).”
INFERENCE AFTER MODEL AVERAGING IN LINEAR REGRESSION MODELS (2018, unknown): “…(Hansen, 2007; Wan, Zhang, and Zou, 2010; Liu and Okui, 2013; Zhang, Zou, and Liang, 2014), optimal mean squared error averaging (Liang, Zou, Wan, and Zhang, 2011), jackknife model averaging (Hansen and Racine, 2012; Zhang, Wan, and Zou, 2013; Lu and Su, 2015), and plug-in averaging (Liu, 2015).”
Generalized Least Squares Model Averaging (2016, unknown): “Thus, the objectives of our model averaging differ from those of Liu (2015).”