Jackknife model averaging for expectile regressions in increasing dimension

DOI10.1016/J.ECONLET.2020.109607MaRDI QIDQ2226835zbMATH OpenOpenAlexFDO

Authors Yundong Tu, Siwei Wang

Publication date 9 February 2021

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2020.109607

zbMATH Keywords

expectile regressionheteroscedasticityhigh-dimensional datajackknife model averaging

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Nonparametric statistical resampling methods (62G09) Applications of statistics to economics (62P20) Statistical aspects of big data and data science (62R07)

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Cites work

• Assessing value at risk with CARE, the conditional autoregressive expectile models
• Asymmetric Least Squares Estimation and Testing
• Consequences and Detection of Misspecified Nonlinear Regression Models
• High Dimensional Variable Selection via Tilting
• Jackknife model averaging
• Jackknife model averaging for quantile regressions
• Least Squares Model Averaging
• Model averaging by jackknife criterion in models with dependent data
• Model Selection: An Integral Part of Inference
• Regression Quantiles

Cited in

(14)

• Optimal model averaging estimator for expectile regressions
• Efficient estimation in expectile regression using envelope models
• Jackknife model averaging for quantile regressions
• Jackknife model averaging for high‐dimensional quantile regression
• Optimal model averaging based on forward-validation
• Poisson subsampling-based estimation for growing-dimensional expectile regression in massive data
• Jackknife model averaging for additive expectile prediction
• Jackknife model averaging for mixed-data kernel-weighted spline quantile regressions
• Relative error model average for multiplicative models
• On Optimality of Mallows Model Averaging
• Efficient distributed estimation for expectile regression in increasing dimensions
• Optimal model averaging for joint value-at-risk and expected shortfall regression
• Jackknife model averaging
• Predictive expectile regression models under possible high persistence and conditional heteroskedasticity

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