Model averaging, asymptotic risk, and regressor groups
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Publication:4586211
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Cites work
- scientific article; zbMATH DE number 3122730 (Why is no real title available?)
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- scientific article; zbMATH DE number 1220667 (Why is no real title available?)
- scientific article; zbMATH DE number 3441460 (Why is no real title available?)
- scientific article; zbMATH DE number 3444596 (Why is no real title available?)
- scientific article; zbMATH DE number 845714 (Why is no real title available?)
- A Bayesian extension of the minimum AIC procedure of autoregressive model fitting
- A comparison of two model averaging techniques with an application to growth empirics
- Bayesian and non-Bayesian methods for combining models and forecasts with applications to forecasting international growth rates
- Bonferroni-based size-correction for nonstandard testing problems
- Combining Minimax Shrinkage Estimators
- Combining coordinates in simultaneous estimation of normal means
- Constructing optimal instruments by first-stage prediction averaging
- Cube root asymptotics
- Estimating the dimension of a model
- Estimation of the mean of a multivariate normal distribution
- Estimation of the mean of a univariate normal distribution with known variance
- Estimation with quadratic loss.
- Frequentist Model Average Estimators
- How Useful Is Bagging in Forecasting Economic Time Series? A Case Study of U.S. Consumer Price Inflation
- Jackknife model averaging
- Least Squares Model Averaging
- Least squares model averaging by Mallows criterion
- Minimax multiple shrinkage estimation
- Model Selection and Multimodel Inference
- Model Selection: An Integral Part of Inference
- On Truncation of Shrinkage Estimators in Simultaneous Estimation of Normal Means
- On the harm that ignoring pretesting can cause
- Optimal weight choice for frequentist model average estimators
- Pooling of forecasts
- Some Comments on C P
- Stein's Estimation Rule and Its Competitors--An Empirical Bayes Approach
- Theory of Preliminary Test and Stein‐Type Estimation With Applications
- Using invalid instruments on purpose: focused moment selection and averaging for GMM
- VAR forecasting under misspecification
Cited in
(47)- Model averaging prediction by \(K\)-fold cross-validation
- Generalized Least Squares Model Averaging
- Instrumental variable model average with applications in Mendelian randomization
- Model averaging for interval-valued data
- AN ASYMPTOTIC THEORY FOR LEAST SQUARES MODEL AVERAGING WITH NESTED MODELS
- Reduced forms and weak instrumentation
- On uniform asymptotic risk of averaging GMM estimators
- On the least-squares model averaging interval estimator
- Corrected Mallows criterion for model averaging
- Joint inference based on Stein-type averaging estimators in the linear regression model
- Model averaging in semiparametric estimation of treatment effects
- Inference after model averaging in linear regression models
- Robust inference in AR-G/GARCH models under model uncertainty
- Post-averaging inference for optimal model averaging estimator in generalized linear models
- Forecasting time series of economic processes by model averaging across data frames of various lengths
- Martingale-residual-based greedy model averaging for high-dimensional current status data
- Optimal model averaging for divergent-dimensional Poisson regressions
- Frequentist model averaging in structural equation modelling
- A new study on asymptotic optimality of least squares model averaging
- Shrinkage for categorical regressors
- An averaging estimator for two-step m-estimation in semiparametric models
- Parsimonious Model Averaging With a Diverging Number of Parameters
- Model selection and model averaging for matrix exponential spatial models
- Predictive model averaging with parameter instability and heteroskedasticity
- Nested model averaging on solution path for high-dimensional linear regression
- Penalized time-varying model averaging
- Focused Information Criterion and Model Averaging for Large Panels With a Multifactor Error Structure
- Estimating the variance of a combined forecast: bootstrap-based approach
- Sampling properties of the Bayesian posterior mean with an application to WALS estimation
- Weighted-average least squares estimation of generalized linear models
- Spatial weights matrix selection and model averaging for spatial autoregressive models
- Model averaging prediction for time series models with a diverging number of parameters
- Limit of the optimal weight in least squares model averaging with non-nested models
- Jackknife model averaging for linear regression models with missing responses
- Model averaging for asymptotically optimal combined forecasts
- On asymptotic risk of selecting models for possibly nonstationary time-series
- A model averaging approach for the ordered probit and nested logit models with applications
- Consistency of model averaging estimators
- Partial linear model averaging prediction for longitudinal data
- Model averaging based on leave-subject-out cross-validation for vector autoregressions
- Model Averaging for Nonlinear Regression Models
- A class of model averaging estimators
- Bonferroni-based size-correction for nonstandard testing problems
- On the dominance of Mallows model averaging estimator over ordinary least squares estimator
- Model averaging: a shrinkage perspective
- Optimal Model Averaging Based on Generalized Method of Moments
- Model averaging based on James-Stein estimators
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