Model selection has had a virtual monopoly on dealing with model uncertainty ever since models were identified as important conduits for statistical
inference. Model averaging alleviates some of its deficiencies, but does not offer a
practical solution in all settings. We propose an alternative based on linear combinations of the candidate models’ estimators. The general proposal is elaborated
for ordinary regression and is illustrated with examples. Some estimators based on
invalid models contribute to efficient estimation of certain quantities.