Jackknife model averaging for expectile regressions in increasing dimension

DOI10.1016/J.ECONLET.2020.109607zbMath1459.62061OpenAlexW3092041919MaRDI QIDQ2226835

Siwei Wang, Yundong Tu

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

heteroscedasticityhigh-dimensional datajackknife model averagingexpectile regression

Mathematics Subject Classification ID

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

Related Items (1)

Optimal model averaging based on forward-validation

Cites Work

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

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