On optimality of Mallows model averaging

In the past decades, model averaging (MA) has attracted much attention as it has emerged as an alternative tool to the model selection (MS) statistical approach. Hansen [\emph{Econometrica} \textbf{75} (2007) 1175--1189] introduced a Mallows model averaging (MMA) method with model weights selected by minimizing a Mallows' $C_p$ criterion. The main theoretical justification for MMA is an asymptotic optimality (AOP), which states that the risk/loss of the resulting MA estimator is asymptotically equivalent to that of the best but infeasible averaged model. MMA's AOP is proved in the literature by either constraining weights in a special discrete weight set or limiting the number of candidate models. In this work, it is first shown that under these restrictions, however, the optimal risk of MA becomes an unreachable target, and MMA may converge more slowly than MS. In this background, a foundational issue that has not been addressed is: When a suitably large set of candidate models is considered, and the model weights are not harmfully constrained, can the MMA estimator perform asymptotically as well as the optimal convex combination of the candidate models? We answer this question in a nested model setting commonly adopted in the area of MA. We provide finite sample inequalities for the risk of MMA and show that without unnatural restrictions on the candidate models, MMA's AOP holds in a general continuous weight set under certain mild conditions. Several specific methods for constructing the candidate model sets are proposed. Implications on minimax adaptivity are given as well. The results from simulations back up our theoretical findings.