Model averaging with averaging covariance matrix

DOI10.1016/j.econlet.2016.06.011zbMath1400.62150OpenAlexW2424039278MaRDI QIDQ1670200

Yichen Gao, Xinyu Zhang, Shang-Wei Zhao

Publication date: 5 September 2018

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2016.06.011

zbMATH Keywords

heteroscedasticityasymptotic optimalitymodel averaging

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Linear regression; mixed models (62J05)

Related Items (6)

Mallows model averaging with effective model size in fragmentary data prediction ⋮ Model averaging with high-dimensional dependent data ⋮ Heteroscedasticity-robust model screening: a useful toolkit for model averaging in big data analytics ⋮ Optimal Model Averaging of Mixed-Data Kernel-Weighted Spline Regressions ⋮ Optimal model averaging estimator for semi-functional partially linear models ⋮ Corrected Mallows criterion for model averaging

Cites Work

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• Least squares model averaging by Mallows criterion
• Jackknife model averaging
• Asymptotic optimality of generalized \(C_ L\), cross-validation, and generalized cross-validation in regression with heteroskedastic errors
• Model averaging by jackknife criterion in models with dependent data
• Optimal Weight Choice for Frequentist Model Average Estimators
• Model averaging based on Kullback-Leibler distance
• Heteroscedasticity‐robustCpmodel averaging
• Least Squares Model Averaging

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