Model averaging by jackknife criterion in models with dependent data
From MaRDI portal
Publication:2439862
DOI10.1016/j.jeconom.2013.01.004zbMath1283.62059MaRDI QIDQ2439862
Xinyu Zhang, Alan T. K. Wan, Guo Hua Zou
Publication date: 18 March 2014
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2013.01.004
cross-validation; asymptotic optimality; autocorrelation; model averaging; lagged dependent variables; squared error
62G08: Nonparametric regression and quantile regression
62F40: Bootstrap, jackknife and other resampling methods
Related Items
Model averaging for multivariate multiple regression models, Unnamed Item, DETECTING FINANCIAL DATA DEPENDENCE STRUCTURE BY AVERAGING MIXTURE COPULAS, INFERENCE AFTER MODEL AVERAGING IN LINEAR REGRESSION MODELS, A NEW STUDY ON ASYMPTOTIC OPTIMALITY OF LEAST SQUARES MODEL AVERAGING, Reducing Simulation Input-Model Risk via Input Model Averaging, A model averaging approach for the ordered probit and nested logit models with applications, Model averaging by jackknife criterion for varying-coefficient partially linear models, Model averaging based on leave-subject-out cross-validation, OPTIMAL MULTISTEP VAR FORECAST AVERAGING, Focused information criterion for locally misspecified vector autoregressive models, Nonstructural analysis of productivity growth for the industrialized countries: a jackknife model averaging approach, On asymptotic risk of selecting models for possibly nonstationary time-series, A semiparametric generalized ridge estimator and link with model averaging, Generalized Least Squares Model Averaging, Optimal model averaging estimator for multinomial logit models, Unnamed Item, Model averaging for asymptotically optimal combined forecasts, Semiparametric model averaging method for survival probability predictions of patients, Model averaging prediction by \(K\)-fold cross-validation, Optimal model averaging for semiparametric partially linear models with measurement errors, Time-varying forecast combination for factor-augmented regressions with smooth structural changes, Forecasting cointegrated nonstationary time series with time-varying variance, Model averaging based on James-Stein estimators, Toward optimal model averaging in regression models with time series errors, Model averaging with averaging covariance matrix, Model averaging with high-dimensional dependent data, Spatial weights matrix selection and model averaging for spatial autoregressive models, Model averaging based on leave-subject-out cross-validation for vector autoregressions, Time-varying model averaging, Model averaging prediction for time series models with a diverging number of parameters, Model averaging estimator in ridge regression and its large sample properties, Model averaging for linear models with responses missing at random, Optimal model averaging estimator for expectile regressions, Model averaging marginal regression for high dimensional conditional quantile prediction, Optimal model averaging for multivariate regression models, Mallows model averaging estimation for linear regression model with right censored data, Model averaging estimation for varying-coefficient single-index models, Asymptotic optimality of the nonnegative garrote estimator under heteroscedastic errors, Jackknife model averaging for expectile regressions in increasing dimension, Optimal model averaging estimator for semi-functional partially linear models, Composite quantile regression for ultra-high dimensional semiparametric model averaging, Corrected Mallows criterion for model averaging, Weighted-averaging estimator for possible threshold in segmented linear regression model, Averaging estimators for discrete choice by \(M\)-fold cross-validation, Inverse moment bounds for sample autocovariance matrices based on detrended time series and their applications, Distribution theory of the least squares averaging estimator, Jackknife model averaging for quantile regressions, Frequentist model averaging for threshold models, Cross-validation-based model averaging in linear models with response missing at random, Average estimation of semiparametric models for high-dimensional longitudinal data, Least squares model averaging for two non-nested linear models
Cites Work
- Unnamed Item
- Unnamed Item
- Correction to “Automatic Block-Length Selection for the Dependent Bootstrap” by D. Politis and H. White
- Least-squares forecast averaging
- Frequentist model averaging estimation: a review
- Least squares model averaging by Mallows criterion
- Jackknife model averaging
- Asymptotic optimality of generalized \(C_ L\), cross-validation, and generalized cross-validation in regression with heteroskedastic errors
- A universal procedure for aggregating estimators
- Asymptotic optimality for \(C_ p\), \(C_ L\), cross-validation and generalized cross-validation: Discrete index set
- Asymptotically efficient selection of the order of the model for estimating parameters of a linear process
- Convergence rates and asymptotic normality for series estimators
- On same-realization prediction in an infinite-order autoregressive process.
- Focused information criterion and model averaging for generalized additive partial linear models
- On the harm that ignoring pretesting can cause
- Frequentist model averaging with missing observations
- Aggregation for Gaussian regression
- Optimal Weight Choice for Frequentist Model Average Estimators
- Focused Information Criteria and Model Averaging for the Cox Hazard Regression Model
- Model Selection and Model Averaging
- Information Theory and Mixing Least-Squares Regressions
- Constructing Optimal Instruments by First-Stage Prediction Averaging
- Regression and time series model selection in small samples
- An optimal selection of regression variables
- Inference after variable selection in linear regression models
- Model Selection: An Integral Part of Inference
- Adaptive Regression by Mixing
- Automatic Block-Length Selection for the Dependent Bootstrap
- Frequentist Model Average Estimators
- Least Squares Model Averaging
- Linear Statistical Inference and its Applications
- Combining Linear Regression Models