Abstract
The choice of weights in frequentist model average estimators is an important but difficult problem. Liang et al. (2011) suggested a criterion for the choice of weight under a general parametric framework which is termed as the generalized OPT (GOPT) criterion in the present paper. However, no properties and applications of the criterion have been studied. This paper is devoted to the further investigation of the GOPT criterion. We show that how to use this criterion for comparison of some existing weights such as the smoothed AIC-based and BIC-based weights and for the choice between model averaging and model selection. Its connection to the Mallows and ordinary OPT criteria is built. The asymptotic optimality on the criterion in the case of nonrandom weights is also obtained. Finite sample performance of the GOPT criterion is assessed by simulations. Application to the analysis of two real data sets is presented as well.
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