Averaging estimators for discrete choice by M-fold cross-validation

DOI10.1016/J.ECONLET.2018.10.014MaRDI QIDQ2328516zbMATH OpenOpenAlexFDO

Authors Jianhong Zhou, Guangren Yang, Shangwei 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

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

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Cites work

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

Cited in

(8)

• Frequentist model averaging in the generalized multinomial logit model
• Multifold Cross-Validation Model Averaging for Generalized Additive Partial Linear Models
• A model averaging approach for the ordered probit and nested logit models with applications
• Optimal model averaging estimator for multinomial logit models
• A model‐averaging treatment of multiple instruments in Poisson models with errors
• Model averaging based on leave-subject-out cross-validation
• Averaging estimators for kernel regressions
• A tutorial on estimator averaging in spatial point process models

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