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Finite sample properties of confidence intervals centered on a model averaged estimator

Kabaila, Paul; Welsh, Alan; Wijethunga, Christeen

Description

We examine confidence intervals centered on the frequentist model averaged estimator proposed by Buckland et al. (1997). We consider two formulas for the standard error of this estimator: the estimate put forward by Buckland et al. (1997) of their formula (9) and the square root of formula (6.12) of Burnham and Anderson (2002). We also consider four procedures that have been suggested in the literature for obtaining the half-width of the confidence interval from the chosen standard error. We...[Show more]

CollectionsANU Research Publications
Date published: 2020
Type: Journal article
URI: http://hdl.handle.net/1885/223864
Source: Journal of Statistical Planning and Inference
DOI: 10.1016/j.jspi.2019.10.004

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