Heteroscedasticity-robust model screening: a useful toolkit for model averaging in big data analytics

DOI10.1016/j.econlet.2016.12.019zbMath1400.62148OpenAlexW2566893818MaRDI QIDQ1672808

Tian Xie

Publication date: 11 September 2018

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

Full work available at URL: https://doi.org/10.1016/j.econlet.2016.12.019

zbMATH Keywords

model averagingbig data analyticsmodel screeningheteroscedasticity-robust model screening (HRMS)

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Robustness and adaptive procedures (parametric inference) (62F35)

Related Items (4)

Optimal model averaging based on forward-validation ⋮ HRMS ⋮ Weighing asset pricing factors: a least squares model averaging approach ⋮ A NEW STUDY ON ASYMPTOTIC OPTIMALITY OF LEAST SQUARES MODEL AVERAGING

Cites Work

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• Heteroscedasticity‐robustCpmodel averaging
• Variable Selection for Logistic Regression Using a Prediction‐Focused Information Criterion
• Least Squares Model Averaging
• Combining Linear Regression Models

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