Complete subset regressions

DOI10.1016/j.jeconom.2013.04.017zbMath1288.62139OpenAlexW2127546500MaRDI QIDQ134090

Allan Timmermann, Graham Elliott, Antonio Gargano, Graham Elliott, Antonio Gargano, Allan G. Timmermann

Publication date: December 2013

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://escholarship.org/uc/item/1st3n7z7

zbMATH Keywords

shrinkageforecast combinationsubset regression

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Linear regression; mixed models (62J05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Uses Software

• SSS
• glmnet

Cites Work

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