Least Squares Model Averaging for Two Non-Nested Linear Models

This paper studies the least squares model averaging methods for two non-nested linear models. It is proved that the Mallows model averaging weight of the true model is root- n consistent. Then the authors develop a penalized Mallows criterion which ensures that the weight of the true model equals 1 with probability tending to 1 and thus the averaging estimator is asymptotically normal. If neither candidate model is true, the penalized Mallows averaging estimator is asymptotically optimal. Simulation results show the selection consistency of the penalized Mallows method and the superiority of the model averaging approach compared with the model selection estimation.