Semiparametric Ultra-High Dimensional Model Averaging of Nonlinear Dynamic Time Series
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Cited in
(45)- Model averaging based on leave-subject-out cross-validation for vector autoregressions
- Time-varying model averaging
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- Optimal model averaging for multivariate regression models
- Time series central subspace with covariates and its application to forecasting pine sawtimber stumpage prices in the Southern United States
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- Semiparametric model averaging prediction for dichotomous response
- Penalized averaging of parametric and non-parametric quantile forecasts
- Nonparametric estimation of infinite order regression and its application to the risk-return tradeoff
- Composite quantile regression for ultra-high dimensional semiparametric model averaging
- Multimodel inference based on smoothed information criteria
- Corrected Mallows criterion for model averaging
- A new semiparametric estimation approach for large dynamic covariance matrices with multiple conditioning variables
- Zero-inflated regime-switching stochastic differential equation models for highly unbalanced multivariate, multi-subject time-series data
- A flexible semiparametric forecasting model for time series
- Optimal Model Averaging Based on Generalized Method of Moments
- Nonlinear Factor‐Augmented Predictive Regression Models with Functional Coefficients
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- Jackknife model averaging for high‐dimensional quantile regression
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- Prediction Using Many Samples with Models Possibly Containing Partially Shared Parameters
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- Title not available (Why is no real title available?)
- Determining the number of factors in approximate factor models by twice K-fold cross validation
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