Cross-validation for selecting the penalty factor in least squares model averaging

DOI10.1016/J.ECONLET.2022.110683OpenAlexW4283315357MaRDI QIDQ2159840FDOQ2159840

Authors: Fang Fang, Qiwei Yang, Wenling Tian 

Publication date: 2 August 2022

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2022.110683

zbMATH Keywords

cross-validationlinear modelsfrequentist model averagingMallows model averaging

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Linear Model Selection by Cross-Validation
• Cross-validation for selecting a model selection procedure
• Semiparametric model averaging prediction for dichotomous response
• Least Squares Model Averaging
• Jackknife model averaging
• Consistency of model averaging estimators
• A weight-relaxed model averaging approach for high-dimensional generalized linear models
• Inference after model averaging in linear regression models
• Parsimonious Model Averaging With a Diverging Number of Parameters
• A Mallows-type model averaging estimator for the varying-coefficient partially linear model
• Cholesky-based model averaging for covariance matrix estimation

Cited In (4)

• Complete subset averaging approach for high-dimensional generalized linear models
• Title not available (Why is that?)
• Model averaging: a shrinkage perspective
• A penalized approach to mixed model selection via cross-validation

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