2026-07-072026-07-07http://salesiana.dossiersoluciones.com/handle/123456789/141499The finite-sample as well as the asymptotic distribution of Leung and Barron's (2006) model averaging estimator are derived in the context of a linear regression model. An impossibility result regarding the estimation of the finite-sample distribution of the model averaging estimator is obtained.Published at http://dx.doi.org/10.1214/074921706000000987 in the IMS Lecture Notes Monograph Series (http://www.imstat.org/publications/lecnotes.htm) by the Institute of Mathematical Statistics (http://www.imstat.org)Statistics TheoryMethodology62F10, 62F12 (Primary); 62E15, 62J05, 62J07 (Secondary)text