Generalized aggregation of misspecified models: with an application to asset pricing (Q2658796): Difference between revisions

@@ Property / DOI @@
-.1016/j.jeconom.2020.07.010
@@ Property / DOI: 10.1016/j.jeconom.2020.07.010 / rank @@
-Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.jeconom.2020.07.010
+Normal rank
@@ Property / OpenAlex ID @@
+W3046406212
@@ Property / OpenAlex ID: W3046406212 / rank @@
+Normal rank
@@ Property / cites work @@
+Assessing misspecified asset pricing models with empirical likelihood estimators
+Normal rank
@@ Property / cites work @@
+Q4293547
@@ Property / cites work: Q4293547 / rank @@
+Normal rank
@@ Property / cites work @@
+Model selection via testing: an alternative to (penalized) maximum likelihood estimators.
+Normal rank
@@ Property / cites work @@
+Model selection for density estimation with \(\mathbb L_2\)-loss
+Normal rank
@@ Property / cites work @@
+PRICING KERNEL ESTIMATION: A LOCAL ESTIMATING EQUATION APPROACH
+Normal rank
@@ Property / cites work @@
+Model Selection and Model Averaging
@@ Property / cites work: Model Selection and Model Averaging / rank @@
+Normal rank
@@ Property / cites work @@
+Q3687500
@@ Property / cites work: Q3687500 / rank @@
+Normal rank
@@ Property / cites work @@
+Ideal spatial adaptation by wavelet shrinkage
@@ Property / cites work: Ideal spatial adaptation by wavelet shrinkage / rank @@
+Normal rank
@@ Property / cites work @@
+Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
+Normal rank
@@ Property / cites work @@
+Common risk factors in the returns on stocks and bonds
+Normal rank
@@ Property / cites work @@
+Aggregating opinions through logarithmic pooling
@@ Property / cites work: Aggregating opinions through logarithmic pooling / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal prediction pools
@@ Property / cites work: Optimal prediction pools / rank @@
+Normal rank
@@ Property / cites work @@
+Chi-squared tests for evaluation and comparison of asset pricing models
+Normal rank
@@ Property / cites work @@
+Spurious Inference in Reduced-Rank Asset-Pricing Models
+Normal rank
@@ Property / cites work @@
+Pseudo Maximum Likelihood Methods: Theory
@@ Property / cites work: Pseudo Maximum Likelihood Methods: Theory / rank @@
+Normal rank
@@ Property / cites work @@
+A Dependence Metric for Possibly Nonlinear Processes
+Normal rank
@@ Property / cites work @@
+The large sample behaviour of the generalized method of moments estimator in misspecified models
+Normal rank
@@ Property / cites work @@
+Least Squares Model Averaging
@@ Property / cites work: Least Squares Model Averaging / rank @@
+Normal rank
@@ Property / cites work @@
+Jackknife model averaging
@@ Property / cites work: Jackknife model averaging / rank @@
+Normal rank
@@ Property / cites work @@
+Robustness
@@ Property / cites work: Robustness / rank @@
+Normal rank
@@ Property / cites work @@
+Robustness, Infinitesimal Neighborhoods, and Moment Restrictions
+Normal rank
@@ Property / cites work @@
+Connections between entropic and linear projections in asset pricing estimation
+Normal rank
@@ Property / cites work @@
+Optimal Weight Choice for Frequentist Model Average Estimators
+Normal rank
@@ Property / cites work @@
+A Modified Stein-like Estimator for the Reduced Form Coefficients of Simultaneous Equations
+Normal rank
@@ Property / cites work @@
+The Measurement and Decomposition of Multi-Dimensional Inequality
+Normal rank
@@ Property / cites work @@
+A compendium to information theory in economics and econometrics
+Normal rank
@@ Property / cites work @@
+On the behavior of inconsistent instrumental variable estimators
+Normal rank
@@ Property / cites work @@
+Marginalization and Linear Opinion Pools
@@ Property / cites work: Marginalization and Linear Opinion Pools / rank @@
+Normal rank
@@ Property / cites work @@
+Kullback-Leibler aggregation and misspecified generalized linear models
+Normal rank
@@ Property / cites work @@
+Sparse estimation by exponential weighting
@@ Property / cites work: Sparse estimation by exponential weighting / rank @@
+Normal rank
@@ Property / cites work @@
+A Bayesian approach to diagnosis of asset pricing models
+Normal rank
@@ Property / cites work @@
+Maximum Likelihood Estimation of Misspecified Models
+Normal rank
@@ Property / cites work @@
+Adaptive Regression by Mixing
@@ Property / cites work: Adaptive Regression by Mixing / rank @@
+Normal rank
@@ Property / cites work @@
+Q4438062
@@ Property / cites work: Q4438062 / rank @@
+Normal rank
@@ Property / cites work @@
+COMBINING FORECASTING PROCEDURES: SOME THEORETICAL RESULTS
+Normal rank
@@ Property / cites work @@
+Model averaging based on Kullback-Leibler distance
+Normal rank
@@ Property / DOI @@
+.1016/J.JECONOM.2020.07.010
@@ Property / DOI: 10.1016/J.JECONOM.2020.07.010 / rank @@
+Normal rank