Prediction model averaging estimator

DOI10.1016/J.ECONLET.2015.03.027MaRDI QIDQ500561zbMATH OpenOpenAlexFDO

Authors Tian Xie

Publication date 5 October 2015

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2015.03.027

zbMATH Keywords

convex optimizationmodel averagingsocial media big data

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Linear regression; mixed models (62J05) Applications of statistics to economics (62P20) Statistical methods; risk measures (91G70)

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Cites work

• Asymptotic optimality for \(C_ p\), \(C_ L\), cross-validation and generalized cross-validation: Discrete index set
• scientific article; zbMATH DE number 3444596 (Why is no real title available?)
• Jackknife model averaging
• Least Squares Model Averaging
• Least squares model averaging by Mallows criterion
• Model averaging based on Kullback-Leibler distance
• Selection of Regressors
• Some Comments on C P

Cited in

(17)

• Model averaging with averaging covariance matrix
• Heteroscedasticity-robust model screening: a useful toolkit for model averaging in big data analytics
• Multimodel inference based on smoothed information criteria
• Corrected Mallows criterion for model averaging
• Prediction from partial data, renormalization, and averaging
• A new study on asymptotic optimality of least squares model averaging
• Model averaging in predictive regressions
• Weighing asset pricing factors: a least squares model averaging approach
• Model averaging in a multiplicative heteroscedastic model
• Weighted-average least squares prediction
• Optimal model averaging for divergent-dimensional Poisson regressions
• Frequentist model averaging for envelope models
• A model‐averaging treatment of multiple instruments in Poisson models with errors
• Optimal Model Averaging of Mixed-Data Kernel-Weighted Spline Regressions
• Estimating conditional average treatment effects with heteroscedasticity by model averaging and matching
• A marginalized zero-truncated Poisson regression model and its model averaging prediction
• Frequentist model averaging under a linear exponential loss

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