Optimal model averaging based on forward-validation
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Cites work
- A comparison of two model averaging techniques with an application to growth empirics
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- A new semiparametric estimation approach for large dynamic covariance matrices with multiple conditioning variables
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- Combining Linear Regression Models
- Dependent central limit theorems and invariance principles
- Distribution theory of the least squares averaging estimator
- Focused Information Criteria and Model Averaging for the Cox Hazard Regression Model
- Focused information criterion and model averaging for generalized additive partial linear models
- Focused information criterion for locally misspecified vector autoregressive models
- Forecast combination across estimation windows
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- Frequentist model averaging for threshold models
- Functional martingale residual process for high-dimensional Cox regression with model averaging
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- Heteroscedasticity-robust model screening: a useful toolkit for model averaging in big data analytics
- scientific article; zbMATH DE number 3765006 (Why is no real title available?)
- Information Theory and Mixing Least-Squares Regressions
- Jackknife model averaging
- Jackknife model averaging for expectile regressions in increasing dimension
- Jackknife model averaging for quantile regressions
- Least Squares Model Averaging
- Least squares model averaging by Mallows criterion
- Least-squares forecast averaging
- Maximum Likelihood Estimation of Misspecified Models
- Model averaging based on leave-subject-out cross-validation
- Model averaging in predictive regressions
- Model Selection: An Integral Part of Inference
- Nonstructural analysis of productivity growth for the industrialized countries: a jackknife model averaging approach
- On the central limit theorem and iterated logarithm law for stationary processes
- On uniform asymptotic risk of averaging GMM estimators
- Selection of estimation window in the presence of breaks
- Shrinkage for categorical regressors
- Toward optimal model averaging in regression models with time series errors
- Variable Selection for Logistic Regression Using a Prediction‐Focused Information Criterion
- Weighted average least squares estimation with nonspherical disturbances and an application to the Hong Kong housing market
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Cited in
(10)- Time-varying forecast combination for factor-augmented regressions with smooth structural changes
- Optimal model averaging based on leave-\(h\)-out forward-validation for threshold autoregressive models
- A Mallows-type model averaging estimator for ridge regression with randomly right censored data
- Predicting the multivariate zero-inflated counts: a novel model averaging method under Pearson loss
- Forward-validation model averaging for discrete response MIDAS model
- Bregman model averaging for forecast combination
- Quantile prediction with factor-augmented regression: structural instability and model uncertainty
- Focused weighted-average least squares estimator
- Model averaging for time-varying vector autoregressions
- Two-stage least squares model averaging for instrumental variable models with exogenous variables
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