On the dominance of Mallows model averaging estimator over ordinary least squares estimator
From MaRDI portal
Publication:1668226
DOI10.1016/j.econlet.2016.02.027zbMath1398.62253OpenAlexW2302124411MaRDI QIDQ1668226
Aman Ullah, Xinyu Zhang, Shang-Wei Zhao
Publication date: 3 September 2018
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.econlet.2016.02.027
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Related Items (4)
When and when not to use optimal model averaging ⋮ A class of model averaging estimators ⋮ Corrected Mallows criterion for model averaging ⋮ On asymptotic risk of selecting models for possibly nonstationary time-series
Cites Work
- Unnamed Item
- A flexible semiparametric forecasting model for time series
- Averaging estimators for autoregressions with a near unit root
- Jackknife model averaging
- Estimation of the mean of a multivariate normal distribution
- Bayesian model averaging: A tutorial. (with comments and a rejoinder).
- Distribution theory of the least squares averaging estimator
- Jackknife model averaging for quantile regressions
- Focused information criterion and model averaging for generalized additive partial linear models
- Optimal Weight Choice for Frequentist Model Average Estimators
- Constructing Optimal Instruments by First-Stage Prediction Averaging
- Model Selection: An Integral Part of Inference
- Frequentist Model Average Estimators
- Model averaging, asymptotic risk, and regressor groups
- Variable Selection for Logistic Regression Using a Prediction‐Focused Information Criterion
- Model averaging and weight choice in linear mixed-effects models
- Least Squares Model Averaging
- Optimal Model Assessment, Selection, and Combination
This page was built for publication: On the dominance of Mallows model averaging estimator over ordinary least squares estimator
