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In the literature, asymptotic optimality is usually proved under specific weights restriction or using hardly interpretable assumptions. This article provides a new approach to proving asymptotic optimality, in which a general weight set is adopted, and some easily interpretable assumptions are imposed. In particular, we do not impose any assumptions on the maximum selection risk and allow a larger number of regressors than that of existing studies.<\/jats:p>","DOI":"10.1017\/s0266466620000055","type":"journal-article","created":{"date-parts":[[2020,4,14]],"date-time":"2020-04-14T03:34:46Z","timestamp":1586835286000},"page":"388-407","source":"Crossref","is-referenced-by-count":22,"title":["A NEW STUDY ON ASYMPTOTIC OPTIMALITY OF LEAST SQUARES MODEL AVERAGING"],"prefix":"10.1017","volume":"37","author":[{"given":"Xinyu","family":"Zhang","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"56","published-online":{"date-parts":[[2020,4,14]]},"reference":[{"key":"S0266466620000055_r9","doi-asserted-by":"publisher","DOI":"10.1214\/aos\/1015951994"},{"key":"S0266466620000055_r1","doi-asserted-by":"publisher","DOI":"10.1080\/01621459.2013.838168"},{"key":"S0266466620000055_r6","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0262.2007.00785.x"},{"key":"S0266466620000055_r24","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2013.04.019"},{"key":"S0266466620000055_r10","doi-asserted-by":"crossref","first-page":"697","DOI":"10.3982\/ECTA7444","article-title":"Constructing optimal instruments by first-stage prediction averaging","volume":"78","author":"Kuersteiner","year":"2010","journal-title":"Econometrica"},{"key":"S0266466620000055_r19","doi-asserted-by":"publisher","DOI":"10.1016\/j.econlet.2015.03.027"},{"key":"S0266466620000055_r3","doi-asserted-by":"crossref","first-page":"321","DOI":"10.1016\/j.jeconom.2015.03.026","article-title":"Toward optimal model averaging in regression models with time series errors","volume":"189","author":"Cheng","year":"2015","journal-title":"Journal of Econometrics"},{"key":"S0266466620000055_r13","doi-asserted-by":"publisher","DOI":"10.1111\/ectj.12009"},{"key":"S0266466620000055_r14","doi-asserted-by":"publisher","DOI":"10.1080\/07474938.2015.1092817"},{"key":"S0266466620000055_r21","doi-asserted-by":"publisher","DOI":"10.1017\/S0266466604201086"},{"key":"S0266466620000055_r5","doi-asserted-by":"publisher","DOI":"10.1007\/s10463-017-0642-9"},{"key":"S0266466620000055_r22","doi-asserted-by":"publisher","DOI":"10.1198\/016214505000000088"},{"key":"S0266466620000055_r7","doi-asserted-by":"publisher","DOI":"10.3982\/QE332"},{"key":"S0266466620000055_r25","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2013.01.004"},{"key":"S0266466620000055_r15","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1099-1255(199703)12:2<169::AID-JAE426>3.0.CO;2-P"},{"key":"S0266466620000055_r2","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(91)90107-O"},{"key":"S0266466620000055_r16","doi-asserted-by":"publisher","DOI":"10.1002\/9780470316436"},{"key":"S0266466620000055_r8","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2011.06.019"},{"key":"S0266466620000055_r17","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2009.10.030"},{"key":"S0266466620000055_r26","first-page":"1583","article-title":"Model averaging based on Kullback-Leibler distance","volume":"25","author":"Zhang","year":"2015","journal-title":"Statistica Sinica"},{"key":"S0266466620000055_r18","doi-asserted-by":"publisher","DOI":"10.1080\/02331889208802374"},{"key":"S0266466620000055_r23","unstructured":"Zhang, X. 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