Generalized Least Squares Model Averaging (Q5864519)

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scientific article; zbMATH DE number 7537967

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English	Generalized Least Squares Model Averaging	scientific article; zbMATH DE number 7537967

Statements

scholarly article

Generalized Least Squares Model Averaging (English)

Arihiro Yoshimura

Econometric Reviews

publication date

7 June 2022

full work available at URL

http://www.kier.kyoto-u.ac.jp/DP/DP855.pdf

zbMATH Keywords

FGLS

GLS

Mallows' \(C_p\)

model averaging

MaRDI profile type

MaRDI publication profile

Consistent autoregressive spectral estimates

Model Selection and Model Averaging

Choosing the Number of Instruments

Least Squares Model Averaging

Least-squares forecast averaging

Model averaging, asymptotic risk, and regressor groups

Jackknife model averaging

Tobin's Marginal q and Average q: A Neoclassical Interpretation

Frequentist Model Average Estimators

Constructing Optimal Instruments by First-Stage Prediction Averaging

Prediction of multivariate time series by autoregressive model fitting

Asymptotic optimality for \(C_ p\), \(C_ L\), cross-validation and generalized cross-validation: Discrete index set

Optimal Weight Choice for Frequentist Model Average Estimators

Distribution theory of the least squares averaging estimator

Heteroscedasticity‐robust<i>Cp</i>model averaging

A comparison of two model averaging techniques with an application to growth empirics

Weighted average least squares estimation with nonspherical disturbances and an application to the Hong Kong housing market

Some Comments on C P

Asymptotically Efficient Estimation in the Presence of Heteroskedasticity of Unknown Form

Estimating the dimension of a model

Least squares model averaging by Mallows criterion

Combining Linear Regression Models

Model averaging by jackknife criterion in models with dependent data

Identifiers

zbMATH Open document ID

10.1080/07474938.2015.1092817

Mathematics Subject Classification ID

zbMATH DE Number

Sitelinks

Mathematics(1 entry)

mardi Publication:5864519

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