# MMA: Mallow's Model Averaging

### Description

Performs model averaging on a set of nested candidate models with the weights vector chosen such that a specific Mallow's criterion is minimized.

### Usage

1 | ```
mma(somedata, modelformula = NULL, ycol = 1)
``` |

### Arguments

`somedata` |
A dataframe or matrix of data. |

`modelformula` |
Formula of the full model. |

`ycol` |
Either a character string or integer specifying the column with the outcome variable. |

### Details

Mallow's Model Averaging (MMA) considers all nested submodels of the full model as candidate models, i.e if there are 7 variables there are 7 candidate models.
The weight vector used to combine the respective estimates is chosen such that a certain Mallow's type criterion is minimized. The final weighted estimate
targets to minimize the mean squared prediciton error and is optimal in some sense, see Theorem 1 and Lemma 3 in Hansen, B. (2007, *Least Squares Model Averaging*, Econometrica, 75:1175-1189).

Note however that the results of MMA depend on the ordering of the regresssors.

### Value

Returns an object of `class`

‘mma’:

`coefficients` |
A matrix of estimated coefficients and standard errors. |

`averaging.weights` |
A matrix containing the weights for each models used in the model averaging procedure. |

### Author(s)

Michael Schomaker

### References

Hansen, B. (2007), *Least Squares Model Averaging*, Econometrica, 75:1175-1189

### Examples

1 2 3 |

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