A class of model averaging estimators

DOI10.1016/J.ECONLET.2017.10.023zbMath1401.62113OpenAlexW2767396564MaRDI QIDQ1787243

Aman Ullah, Xinyu Zhang, Shang-Wei Zhao

Publication date: 5 October 2018

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

Full work available at URL: https://doi.org/10.1016/j.econlet.2017.10.023

zbMATH Keywords

mean squared errorsufficient conditionmodel averagingfinite sample size

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Linear regression; mixed models (62J05)

Uses Software

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Cites Work

• Weighted average least squares estimation with nonspherical disturbances and an application to the Hong Kong housing market
• Estimation of the mean of a multivariate normal distribution
• Bayesian model averaging: A tutorial. (with comments and a rejoinder).
• On the dominance of Mallows model averaging estimator over ordinary least squares estimator
• Distribution theory of the least squares averaging estimator
• Focused information criterion and model averaging for generalized additive partial linear models
• A comparison of two model averaging techniques with an application to growth empirics
• Optimal Weight Choice for Frequentist Model Average Estimators
• Model averaging based on Kullback-Leibler distance
• Frequentist Model Average Estimators
• Model averaging, asymptotic risk, and regressor groups
• Least Squares Model Averaging
• Simultaneous Regression Shrinkage, Variable Selection, and Supervised Clustering of Predictors with OSCAR
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