On improvability of model selection by model averaging

DOI10.1016/J.JECONOM.2020.12.003OpenAlexW3119971523MaRDI QIDQ2155292FDOQ2155292

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

model selectionasymptotic efficiencymodel averaging

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 (10)

• Model weights for model choice and averaging
• AN ASYMPTOTIC THEORY FOR LEAST SQUARES MODEL AVERAGING WITH NESTED MODELS
• Model averaging prediction by \(K\)-fold cross-validation
• Improved modeling by coupling imperfect models
• Jackknife model averaging for additive expectile prediction
• A Mallows-type model averaging estimator for ridge regression with randomly right censored data
• Optimal Model Averaging of Mixed-Data Kernel-Weighted Spline Regressions
• Model averaging: a shrinkage perspective
• An averaging estimator for two-step m-estimation in semiparametric models
• Parsimonious Model Averaging With a Diverging Number of Parameters

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