Least squares model averaging by Mallows criterion
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Publication:530944
DOI10.1016/J.JECONOM.2009.10.030zbMATH Open1431.62291OpenAlexW2052025831MaRDI QIDQ530944FDOQ530944
Authors: Alan T. K. Wan, Xinyu Zhang, Guohua Zou 
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
Recommendations
Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)
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Cited In (only showing first 100 items - show all)
- Generalized Least Squares Model Averaging
- A semiparametric generalized ridge estimator and link with model averaging
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- Model averaging, asymptotic risk, and regressor groups
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- Jackknife model averaging for quantile regressions
- Model averaging for multivariate multiple regression models
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- Semiparametric model average prediction in panel data analysis
- Optimal model averaging estimator for semi-functional partially linear models
- A model averaging approach for the ordered probit and nested logit models with applications
- Least Squares Model Averaging
- Model averaging in semiparametric estimation of treatment effects
- On the sensitivity of pre-test estimators to covariance misspecification
- Spatial weights matrix selection and model averaging for spatial autoregressive models
- Interval estimation by frequentist model averaging
- Nonstructural analysis of productivity growth for the industrialized countries: a jackknife model averaging approach
- A model-averaging approach for high-dimensional regression
- Inference after model averaging in linear regression models
- A Mallows-type model averaging estimator for the varying-coefficient partially linear model
- Jackknife model averaging
- Optimal model averaging estimator for multinomial logit models
- Model selection and model averaging after multiple imputation
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- Complete subset averaging approach for high-dimensional generalized linear models
- Model averaging in a multiplicative heteroscedastic model
- A robust model averaging approach for partially linear models with responses missing at random
- Model averaging estimator in ridge regression and its large sample properties
- Shrinkage averaging estimation
- Model averaging for varying-coefficient partially linear measurement error models
- Model averaging based on Kullback-Leibler distance
- Mallows criterion for heteroskedastic linear regressions with many regressors
- Estimating average treatment effect by model averaging
- Semiparametric Ultra-High Dimensional Model Averaging of Nonlinear Dynamic Time Series
- Model averaging procedure for varying-coefficient partially linear models with missing responses
- Detection of influential points as a byproduct of resampling-based variable selection procedures
- Title not available (Why is that?)
- On the dominance of Mallows model averaging estimator over ordinary least squares estimator
- Model averaging with averaging covariance matrix
- Model averaging based on James-Stein estimators
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- Model averaging for linear models with responses missing at random
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- Time-varying model averaging
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- Model averaging based on generalized method of moments
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- Model averaging estimation for varying-coefficient single-index models
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- High-dimensional model averaging for quantile regression
- Estimating conditional average treatment effects with heteroscedasticity by model averaging and matching
- A model-averaging method for high-dimensional regression with missing responses at random
- Model averaging for estimating treatment effects
- Multifold Cross-Validation Model Averaging for Generalized Additive Partial Linear Models
- Weighted-average least squares prediction
- Asymptotic optimality of the nonnegative garrote estimator under heteroscedastic errors
- Model averaging for right censored data with measurement error
- Mallows model averaging estimation for linear regression model with right censored data
- Model aggregation for doubly divided data with large size and large dimension
- Model averaging estimation for nonparametric varying-coefficient models with multiplicative heteroscedasticity
- Optimal model averaging for divergent-dimensional Poisson regressions
- Spatial Mallows model averaging for geostatistical models
- Kernel Averaging Estimators
- AN ASYMPTOTIC THEORY FOR LEAST SQUARES MODEL AVERAGING WITH NESTED MODELS
- Reducing Simulation Input-Model Risk via Input Model Averaging
- Model averaging prediction by \(K\)-fold cross-validation
- Jackknife model averaging for composite quantile regression
- Optimal model average prediction in orthogonal kriging models
- Jackknife model averaging for additive expectile prediction
- Penalized Mallow’s model averaging
- Frequentist model averaging for envelope models
- A new study on asymptotic optimality of least squares model averaging
- AdaBoost Semiparametric Model Averaging Prediction for Multiple Categories
- Average estimation of semiparametric models for high-dimensional longitudinal data
- A Mallows-type model averaging estimator for ridge regression with randomly right censored data
- The jackknife model averaging of accelerated failure time model with current status data
- Mallows model averaging with effective model size in fragmentary data prediction
- On the least-squares model averaging interval estimator
- Limit of the optimal weight in least squares model averaging with non-nested models
- Optimal multistep VAR forecast averaging
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