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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• When and when not to use optimal model averaging
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• Time-varying model averaging
• Model averaging with covariates that are missing completely at random
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• Optimal model averaging for multivariate regression models
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• Heteroscedasticity-robust model screening: a useful toolkit for model averaging in big data analytics
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• Kernel Averaging Estimators
• AN ASYMPTOTIC THEORY FOR LEAST SQUARES MODEL AVERAGING WITH NESTED MODELS
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• Reducing Simulation Input-Model Risk via Input Model Averaging
• A model-averaging approach for high-dimensional regression
• Nonstructural analysis of productivity growth for the industrialized countries: a jackknife model averaging approach
• Model averaging prediction by \(K\)-fold cross-validation
• Inference after model averaging in linear regression models
• A Mallows-type model averaging estimator for the varying-coefficient partially linear model
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