Model averaging, asymptotic risk, and regressor groups
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Publication:4586211
DOI10.3982/QE332zbMATH Open1398.62181OpenAlexW1517600448MaRDI QIDQ4586211FDOQ4586211
Authors: Bruce E. Hansen 
Publication date: 12 September 2018
Published in: Quantitative Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3982/qe332
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Linear regression; mixed models (62J05) Ridge regression; shrinkage estimators (Lasso) (62J07) Applications of statistics to social sciences (62P25)
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Cited In (47)
- Generalized Least Squares Model Averaging
- Model averaging for asymptotically optimal combined forecasts
- Model averaging based on leave-subject-out cross-validation for vector autoregressions
- A model averaging approach for the ordered probit and nested logit models with applications
- Model averaging in semiparametric estimation of treatment effects
- Post-averaging inference for optimal model averaging estimator in generalized linear models
- Focused Information Criterion and Model Averaging for Large Panels With a Multifactor Error Structure
- Bonferroni-based size-correction for nonstandard testing problems
- Optimal model averaging for divergent-dimensional Poisson regressions
- Spatial weights matrix selection and model averaging for spatial autoregressive models
- AN ASYMPTOTIC THEORY FOR LEAST SQUARES MODEL AVERAGING WITH NESTED MODELS
- Model averaging prediction by \(K\)-fold cross-validation
- Inference after model averaging in linear regression models
- Reduced forms and weak instrumentation
- A new study on asymptotic optimality of least squares model averaging
- Shrinkage for categorical regressors
- Model averaging for interval-valued data
- On the least-squares model averaging interval estimator
- Limit of the optimal weight in least squares model averaging with non-nested models
- Martingale-residual-based greedy model averaging for high-dimensional current status data
- Instrumental variable model average with applications in Mendelian randomization
- Model averaging: a shrinkage perspective
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- A class of model averaging estimators
- Model averaging based on James-Stein estimators
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- Jackknife model averaging for linear regression models with missing responses
- Model selection and model averaging for matrix exponential spatial models
- Sampling properties of the Bayesian posterior mean with an application to WALS estimation
- Forecasting time series of economic processes by model averaging across data frames of various lengths
- Estimating the variance of a combined forecast: bootstrap-based approach
- Model averaging prediction for time series models with a diverging number of parameters
- Weighted-average least squares estimation of generalized linear models
- Consistency of model averaging estimators
- An averaging estimator for two-step m-estimation in semiparametric models
- Predictive model averaging with parameter instability and heteroskedasticity
- Nested model averaging on solution path for high-dimensional linear regression
- Corrected Mallows criterion for model averaging
- Parsimonious Model Averaging With a Diverging Number of Parameters
- On asymptotic risk of selecting models for possibly nonstationary time-series
- Robust inference in AR-G/GARCH models under model uncertainty
- Model Averaging for Nonlinear Regression Models
- Optimal Model Averaging Based on Generalized Method of Moments
- Frequentist model averaging in structural equation modelling
- Partial linear model averaging prediction for longitudinal data
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