Least squares model averaging by Mallows criterion

DOI10.1016/j.jeconom.2009.10.030zbMath1431.62291MaRDI QIDQ530944

Alan T. K. Wan, Guo Hua Zou, Xinyu Zhang

Publication date: 1 August 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2009.10.030

zbMATH Keywords

asymptotic optimality; non-nested models; Mallows criterion; continuous weights

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62E20: Asymptotic distribution theory in statistics

62J05: Linear regression; mixed models

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