On improvability of model selection by model averaging

DOI10.1016/J.JECONOM.2020.12.003MaRDI QIDQ2155292zbMATH OpenOpenAlexFDO

Authors Yanyan Li

Publication date 15 July 2022

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

Full work available at URL https://doi.org/10.1016/j.jeconom.2020.12.003

zbMATH Keywords

asymptotic efficiencymodel averagingmodel selection

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites work

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Cited in

(18)

• Improved modeling by coupling imperfect models
• Parsimonious Model Averaging With a Diverging Number of Parameters
• AN ASYMPTOTIC THEORY FOR LEAST SQUARES MODEL AVERAGING WITH NESTED MODELS
• Model averaging prediction by K-fold cross-validation
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• An averaging estimator for two-step m-estimation in semiparametric models
• Jackknife model averaging for additive expectile prediction
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• Model averaging: a shrinkage perspective
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• Unified Optimal Model Averaging with a General Loss Function based on Cross-Validation
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• On Optimality of Mallows Model Averaging
• Communication-efficient model averaging prediction for massive data with asymptotic optimality
• Model weights for model choice and averaging
• Optimal model averaging for joint value-at-risk and expected shortfall regression

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