On improvability of model selection by model averaging

DOI10.1016/j.jeconom.2020.12.003OpenAlexW3119971523MaRDI QIDQ2155292

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

model selectionasymptotic efficiencymodel averaging

Mathematics Subject Classification ID

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

Related Items (3)

AN ASYMPTOTIC THEORY FOR LEAST SQUARES MODEL AVERAGING WITH NESTED MODELS ⋮ Model averaging prediction by \(K\)-fold cross-validation ⋮ Optimal Model Averaging of Mixed-Data Kernel-Weighted Spline Regressions

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