Distribution theory of the least squares averaging estimator
From MaRDI portal
Publication:2346023
DOI10.1016/j.jeconom.2014.07.002zbMath1331.62337OpenAlexW3121321091MaRDI QIDQ2346023
Publication date: 29 May 2015
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://mpra.ub.uni-muenchen.de/54201/1/MPRA_paper_54201.pdf
Applications of statistics to economics (62P20) Linear regression; mixed models (62J05) Economic growth models (91B62)
Related Items
AdaBoost Semiparametric Model Averaging Prediction for Multiple Categories ⋮ Model averaging estimation for varying-coefficient single-index models ⋮ A model averaging approach for the ordered probit and nested logit models with applications ⋮ Optimal Model Averaging Based on Generalized Method of Moments ⋮ Model averaging in semiparametric estimation of treatment effects ⋮ Model averaging for interval-valued data ⋮ Frequentist model averaging under inequality constraints ⋮ Forecasting cointegrated nonstationary time series with time-varying variance ⋮ On the dominance of Mallows model averaging estimator over ordinary least squares estimator ⋮ Focused information criterion and model averaging in censored quantile regression ⋮ Frequentist Model Averaging for the Nonparametric Additive Model ⋮ AN ASYMPTOTIC THEORY FOR LEAST SQUARES MODEL AVERAGING WITH NESTED MODELS ⋮ Frequentist model averaging for envelope models ⋮ A model‐averaging treatment of multiple instruments in Poisson models with errors ⋮ Efficient shrinkage in parametric models ⋮ Optimal model averaging based on forward-validation ⋮ Model averaging for asymptotically optimal combined forecasts ⋮ Penalized time-varying model averaging ⋮ Joint inference based on Stein-type averaging estimators in the linear regression model ⋮ Semiparametric model averaging method for survival probability predictions of patients ⋮ Estimating the variance of a combined forecast: bootstrap-based approach ⋮ Model averaging for estimating treatment effects ⋮ Model averaging prediction by \(K\)-fold cross-validation ⋮ Optimal Model Averaging of Mixed-Data Kernel-Weighted Spline Regressions ⋮ Prediction Using Many Samples with Models Possibly Containing Partially Shared Parameters ⋮ Limit of the optimal weight in least squares model averaging with non-nested models ⋮ Parsimonious Model Averaging With a Diverging Number of Parameters ⋮ On the market price of risk ⋮ On the least-squares model averaging interval estimator ⋮ Model averaging for multivariate multiple regression models ⋮ Consistency of model averaging estimators ⋮ Weighted-average least squares estimation of generalized linear models ⋮ Multimodel inference based on smoothed information criteria ⋮ Time-varying model averaging ⋮ Shrinkage for categorical regressors ⋮ Model averaging prediction for time series models with a diverging number of parameters ⋮ A class of model averaging estimators ⋮ Model averaging based on leave-subject-out cross-validation ⋮ Corrected Mallows criterion for model averaging ⋮ INFERENCE AFTER MODEL AVERAGING IN LINEAR REGRESSION MODELS ⋮ Model averaging for multiple quantile regression with covariates missing at random ⋮ Weighted-averaging estimator for possible threshold in segmented linear regression model ⋮ Weighing asset pricing factors: a least squares model averaging approach ⋮ Frequentist model averaging in structural equation modelling ⋮ Frequentist model averaging in structure equation model with ordinal data ⋮ Focused information criterion for locally misspecified vector autoregressive models ⋮ Generalized Least Squares Model Averaging ⋮ Jackknife model averaging for quantile regressions
Cites Work
- Unnamed Item
- Unnamed Item
- A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
- The Model Confidence Set
- Complete subset regressions
- The Adaptive Lasso and Its Oracle Properties
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- Using invalid instruments on purpose: focused moment selection and averaging for GMM
- Least squares model averaging by Mallows criterion
- Averaging estimators for autoregressions with a near unit root
- Jackknife model averaging
- Asymptotic optimality of generalized \(C_ L\), cross-validation, and generalized cross-validation in regression with heteroskedastic errors
- Can one estimate the conditional distribution of post-model-selection estimators?
- Cube root asymptotics
- Asymptotic optimality for \(C_ p\), \(C_ L\), cross-validation and generalized cross-validation: Discrete index set
- Bayesian model averaging: A tutorial. (with comments and a rejoinder).
- Combining different procedures for adaptive regression
- Weak convergence and empirical processes. With applications to statistics
- Focused information criterion and model averaging for generalized additive partial linear models
- Model averaging by jackknife criterion in models with dependent data
- Robustness checks and robustness tests in applied economics
- A comparison of two model averaging techniques with an application to growth empirics
- Optimal Weight Choice for Frequentist Model Average Estimators
- Model Selection and Model Averaging
- Information Theory and Mixing Least-Squares Regressions
- CAN ONE ESTIMATE THE UNCONDITIONAL DISTRIBUTION OF POST-MODEL-SELECTION ESTIMATORS?
- AVERAGING ESTIMATORS FOR REGRESSIONS WITH A POSSIBLE STRUCTURAL BREAK
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- Specification Tests in Econometrics
- Instrumental Variables Regression with Weak Instruments
- Model Selection: An Integral Part of Inference
- Adaptive Regression by Mixing
- THE FINITE-SAMPLE DISTRIBUTION OF POST-MODEL-SELECTION ESTIMATORS AND UNIFORM VERSUS NONUNIFORM APPROXIMATIONS
- Frequentist Model Average Estimators
- The Focused Information Criterion
- Least Squares Model Averaging
- An asymptotic theory for model selection inference in general semiparametric problems
- MODEL SELECTION AND INFERENCE: FACTS AND FICTION
- Combining Linear Regression Models
