Cross-validation for selecting a model selection procedure
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Publication:494374
DOI10.1016/J.JECONOM.2015.02.006zbMATH Open1337.62387OpenAlexW2110118110MaRDI QIDQ494374FDOQ494374
Authors: Yongli Zhang, Yuhong Yang 
Publication date: 1 September 2015
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2015.02.006
Recommendations
MCPSCADcross-validationinformation criterionLASSOadaptive procedure selectioncross-validation paradoxdata splitting ratio
Nonparametric regression and quantile regression (62G08) Linear regression; mixed models (62J05) Linear inference, regression (62J99) Applications of statistics to economics (62P20)
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Cited In (39)
- Fast cross-validation via sequential testing
- Model selection for high-dimensional linear regression with dependent observations
- Targeted cross-validation
- Consistent cross-validatory model-selection for dependent data: hv-block cross-validation
- Comparison of Bayesian predictive methods for model selection
- Model-based clustering of count processes
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- AN ASYMPTOTIC THEORY FOR LEAST SQUARES MODEL AVERAGING WITH NESTED MODELS
- Cross-validation with confidence
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