Bayesian averaging, prediction and nonnested model selection
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Publication:738162
DOI10.1016/J.JECONOM.2011.09.021zbMATH Open1441.62734OpenAlexW2138399584MaRDI QIDQ738162FDOQ738162
Authors: Han Hong, Bruce Preston 
Publication date: 15 August 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://www.nber.org/papers/w14284.pdf
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Cites Work
- Large Sample Properties of Generalized Method of Moments Estimators
- Censored regression quantiles
- Estimating the dimension of a model
- Econometric specification of stochastic discount factor models
- Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses
- Maximum Likelihood Specification Testing and Conditional Moment Tests
- Simulation and the Asymptotics of Optimization Estimators
- An IV Model of Quantile Treatment Effects
- An MCMC approach to classical estimation.
- Handbook of economic forecasting. Volume 1
- Estimating Macroeconomic Models: A Likelihood Approach
- Information criteria for selecting possibly misspecified parametric models
- Consistent model and moment selection procedures for GMM estimation with application to dynamic panel data models
- Bayesian model averaging and exchange rate forecasts
- Generalized empirical likelihood-based model selection criteria for moment condition models
- Automobile Prices in Market Equilibrium
- Comparing dynamic equilibrium models to data: a Bayesian approach
Cited In (24)
- Forecasting seasonal time series data: a Bayesian model averaging approach
- On Bayesian oracle properties
- On model selection criteria for climate change impact studies
- Using stacking to average Bayesian predictive distributions (with discussion)
- Bayesian model averaging for dynamic panels with an application to a trade gravity model
- Selecting the regularization parameters in high-dimensional panel data models: consistency and efficiency
- Model selection of M-estimation models using least squares approximation
- Quasi-Bayesian model selection
- Multimodel inference based on smoothed information criteria
- A corrected Clarke test for model selection and beyond
- Asymptotic properties of Bayesian inference in linear regression with a structural break
- Bayes factor asymptotics for variable selection in the Gaussian process framework
- On oracle property and asymptotic validity of Bayesian generalized method of moments
- Factor instrumental variable quantile regression
- Bayesian model selection and model averaging
- Optimal designs for model averaging in non-nested models
- Title not available (Why is that?)
- Maximum likelihood Bayesian averaging of uncertain model predictions
- Bayesian Estimation and Comparison of Moment Condition Models
- Bayesian model averaging of possibly similar nonparametric densities
- Asymptotics of K-fold cross validation
- Non-monotonic penalizing for the number of structural breaks
- BAYESIAN SUBSET SELECTION AND MODEL AVERAGING USING A CENTRED AND DISPERSED PRIOR FOR THE ERROR VARIANCE
- Bayesian model selection methods for nonnested models
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