Least squares model averaging by Mallows criterion

DOI10.1016/J.JECONOM.2009.10.030MaRDI QIDQ530944zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

non-nested modelsasymptotic optimalitycontinuous weightsMallows criterion

Mathematics Subject Classification ID

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

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• Detection of influential points as a byproduct of resampling-based variable selection procedures
• Semiparametric Ultra-High Dimensional Model Averaging of Nonlinear Dynamic Time Series
• Optimal Model Averaging of Mixed-Data Kernel-Weighted Spline Regressions
• Instrumental variable model average with applications in Mendelian randomization
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• Optimal model averaging for semiparametric partially linear models with measurement errors
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