Factor-Adjusted Model Averaging
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Cites work
- A model-averaging approach for high-dimensional regression
- A new study on asymptotic optimality of least squares model averaging
- Are Latent Factor Regression and Sparse Regression Adequate?
- Bayesian factor-adjusted sparse regression
- Bootstrapping factor-augmented regression models
- Combining Linear Regression Models
- Confidence Intervals for Diffusion Index Forecasts and Inference for Factor-Augmented Regressions
- Determining the Number of Factors in Approximate Factor Models
- Determining the number of factors when the number of factors can increase with sample size
- Eigenvalue ratio test for the number of factors
- Factor-Adjusted Regularized Model Selection
- Forecasting economic time series using targeted predictors
- Forecasting Using Principal Components From a Large Number of Predictors
- Forecasting with factor-augmented regression: a frequentist model averaging approach
- FRED-MD: A Monthly Database for Macroeconomic Research
- Heteroscedasticity-robust model screening: a useful toolkit for model averaging in big data analytics
- High-dimensional covariance matrix estimation in approximate factor models
- scientific article; zbMATH DE number 2015216 (Why is no real title available?)
- scientific article; zbMATH DE number 1906319 (Why is no real title available?)
- scientific article; zbMATH DE number 845714 (Why is no real title available?)
- Inferential Theory for Factor Models of Large Dimensions
- Jackknife model averaging
- Large covariance estimation by thresholding principal orthogonal complements. With discussion and authors' reply
- Model averaging, asymptotic risk, and regressor groups
- Nearly unbiased variable selection under minimax concave penalty
- Nested model averaging on solution path for high-dimensional linear regression
- On the adaptive elastic net with a diverging number of parameters
- Optimal model averaging for divergent-dimensional Poisson regressions
- Parsimonious Model Averaging With a Diverging Number of Parameters
- Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
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