Least Squares Model Averaging
From MaRDI portal
Publication:5441274
DOI10.1111/j.1468-0262.2007.00785.xzbMath1133.91051MaRDI QIDQ5441274
Publication date: 11 February 2008
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1468-0262.2007.00785.x
Related Items
Model averaging in semiparametric estimation of treatment effects, Least-squares forecast averaging, Model uncertainty and model averaging in regression discontinuity designs, Forecasting cointegrated nonstationary time series with time-varying variance, Choice of weights in FMA estimators under general parametric models, Frequentist model averaging for linear mixed-effects models, Profiled adaptive elastic-net procedure for partially linear models with high-dimensional covar\-i\-ates, Frequentist model averaging estimation: a review, Model averaging based on James-Stein estimators, Forecasting with factor-augmented regression: a frequentist model averaging approach, Asymptotic analysis of the squared estimation error in misspecified factor models, A flexible semiparametric forecasting model for time series, Consistency of model averaging estimators, Prediction model averaging estimator, Least squares model averaging by Mallows criterion, False posteriors for the long-term growth determinants, Averaging estimators for autoregressions with a near unit root, Jackknife model averaging, Model averaging assisted sufficient dimension reduction, Toward optimal model averaging in regression models with time series errors, Efficient shrinkage in parametric models, Weighted average least squares estimation with nonspherical disturbances and an application to the Hong Kong housing market, Linear instrumental variables model averaging estimation, Model selection and model averaging after multiple imputation, The determinants of CDS spreads: evidence from the model space, Complete subset regressions with large-dimensional sets of predictors, 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, Horizon effect in the term structure of long-run risk-return trade-offs, A general procedure to combine estimators, Estimating average treatment effect by model averaging, On the dominance of Mallows model averaging estimator over ordinary least squares estimator, Model averaging with averaging covariance matrix, Model averaging with high-dimensional dependent data, Heteroscedasticity-robust model screening: a useful toolkit for model averaging in big data analytics, An improved Afriat-Diewert-Parkan nonparametric production function estimator, European exchange trading funds trading with locally weighted support vector regression, Spatial weights matrix selection and model averaging for spatial autoregressive models, The optimal selection for restricted linear models with average estimator, Forecasting seasonal time series data: a Bayesian model averaging approach, A general framework for frequentist model averaging, Model averaging based on leave-subject-out cross-validation for vector autoregressions, A class of model averaging estimators, Shrinkage averaging estimation, Model averaging for varying-coefficient partially linear measurement error models, Time-varying model averaging, Shrinkage for categorical regressors, Model averaging prediction for time series models with a diverging number of parameters, Model averaging estimator in ridge regression and its large sample properties, Model averaging for linear models with responses missing at random, Least squares model averaging based on generalized cross validation, Optimal designs for model averaging in non-nested models, Optimal model averaging estimator for expectile regressions, Model averaging marginal regression for high dimensional conditional quantile prediction, Model averaging prediction for nonparametric varying-coefficient models with B-spline smoothing, Distributed networked learning with correlated data, Optimal model averaging for multivariate regression models, Mallows model averaging estimation for linear regression model with right censored data, Model averaging estimation for varying-coefficient single-index models, Detangling robustness in high dimensions: composite versus model-averaged estimation, Asymptotic optimality of the nonnegative garrote estimator under heteroscedastic errors, When and when not to use optimal model averaging, Limit of the optimal weight in least squares model averaging with non-nested models, Jackknife model averaging for expectile regressions in increasing dimension, Optimal model averaging estimator for semi-functional partially linear models, The hinging hyperplanes: an alternative nonparametric representation of a production function., Composite quantile regression for ultra-high dimensional semiparametric model averaging, Multimodel inference based on smoothed information criteria, Corrected Mallows criterion for model averaging, On the sparsity of Mallows model averaging estimator, Weighted-averaging estimator for possible threshold in segmented linear regression model, Order selection for possibly infinite-order non-stationary time series, Frequentist model averaging in structural equation modelling, Distribution theory of the least squares averaging estimator, Jackknife model averaging for quantile regressions, Stable prediction in high-dimensional linear models, Bonferroni-based size-correction for nonstandard testing problems, Frequentist model averaging estimation for the censored partial linear quantile regression model, Focused information criterion and model averaging in censored quantile regression, Frequentist model averaging for threshold models, Model averaging by jackknife criterion in models with dependent data, Adaptively combined forecasting for discrete response time series, Frequentist model averaging with missing observations, Model averaging with covariates that are missing completely at random, Time-varying combinations of predictive densities using nonlinear filtering, A comparison of two model averaging techniques with an application to growth empirics, Cross-validation-based model averaging in linear models with response missing at random, Generalized aggregation of misspecified models: with an application to asset pricing, Model averaging based on generalized method of moments, Complete subset least squares support vector regression, Average estimation of semiparametric models for high-dimensional longitudinal data, AVERAGING OF AN INCREASING NUMBER OF MOMENT CONDITION ESTIMATORS, STRUCTURAL THRESHOLD REGRESSION, Focused Information Criterion and Model Averaging in Quantile Regression, Interval Estimation by Frequentist Model Averaging, PANEL STRUCTURAL MODELING WITH WEAK INSTRUMENTATION AND COVARIANCE RESTRICTIONS, Forecast accuracy and economic gains from Bayesian model averaging using time-varying weights, Sparsity Oriented Importance Learning for High-Dimensional Linear Regression, Model averaging for multiple quantile regression with covariates missing at random, Focused Information Criterion for Capture–Recapture Models for Closed Populations, Model averaging, asymptotic risk, and regressor groups, Semiparametric model average prediction in panel data analysis, On the least-squares model averaging interval estimator, Model averaging for multivariate multiple regression models, Unnamed Item, Semiparametric Ultra-High Dimensional Model Averaging of Nonlinear Dynamic Time Series, DETECTING FINANCIAL DATA DEPENDENCE STRUCTURE BY AVERAGING MIXTURE COPULAS, INFERENCE AFTER MODEL AVERAGING IN LINEAR REGRESSION MODELS, A Model-Averaging Approach for High-Dimensional Regression, A NEW STUDY ON ASYMPTOTIC OPTIMALITY OF LEAST SQUARES MODEL AVERAGING, Reducing Simulation Input-Model Risk via Input Model Averaging, Unnamed Item, Model selection and model averaging for semiparametric partially linear models with missing data, A model averaging approach for the ordered probit and nested logit models with applications, Optimal Model Averaging Based on Generalized Method of Moments, Consistency of BIC Model Averaging, Forecasting time series of economic processes by model averaging across data frames of various lengths, Parsimonious Model Averaging With a Diverging Number of Parameters, A Mallows-Type Model Averaging Estimator for the Varying-Coefficient Partially Linear Model, Weighing asset pricing factors: a least squares model averaging approach, THE INTEGRATED MEAN SQUARED ERROR OF SERIES REGRESSION AND A ROSENTHAL HILBERT-SPACE INEQUALITY, Model averaging based on leave-subject-out cross-validation, OPTIMAL MULTISTEP VAR FORECAST AVERAGING, Focused information criterion for locally misspecified vector autoregressive models, Model averaging in a multiplicative heteroscedastic model, Nonstructural analysis of productivity growth for the industrialized countries: a jackknife model averaging approach, On asymptotic risk of selecting models for possibly nonstationary time-series, Robust open Bayesian analysis: Overfitting, model uncertainty, and endogeneity issues in multiple regression models, AVERAGING ESTIMATORS FOR REGRESSIONS WITH A POSSIBLE STRUCTURAL BREAK
