Averaging estimators for discrete choice by \(M\)-fold cross-validation

DOI10.1016/j.econlet.2018.10.014zbMath1429.62193OpenAlexW2899472681MaRDI QIDQ2328516

Guangren Yang, Jianhong Zhou, Shang-Wei Zhao

Publication date: 10 October 2019

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

Full work available at URL: https://doi.org/10.1016/j.econlet.2018.10.014

zbMATH Keywords

cross-validationmodel averagingcomputational costasymptotical optimality

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Asymptotic properties of nonparametric inference (62G20)

Related Items (3)

Optimal model averaging estimator for multinomial logit models ⋮ A model‐averaging treatment of multiple instruments in Poisson models with errors ⋮ Multifold Cross-Validation Model Averaging for Generalized Additive Partial Linear Models

Cites Work

• Jackknife model averaging
• Focused information criterion and model averaging for generalized additive partial linear models
• Model averaging by jackknife criterion in models with dependent data
• Adaptively combined forecasting for discrete response time series
• Frequentist Model Average Estimators
• Econometrics of Qualitative Dependent Variables
• A Model-Averaging Approach for High-Dimensional Regression
• Variable Selection for Logistic Regression Using a Prediction‐Focused Information Criterion
• Combining Linear Regression Models
• Maximum Likelihood Estimation of Misspecified Models

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