Model averaging by jackknife criterion in models with dependent data

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

zbMATH Keywords

cross-validation; asymptotic optimality; autocorrelation; model averaging; lagged dependent variables; squared error

Mathematics Subject Classification ID

62G08: Nonparametric regression and quantile regression

62F40: Bootstrap, jackknife and other resampling methods

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