Consistency of model averaging estimators

DOI10.1016/j.econlet.2015.03.017zbMath1321.62022OpenAlexW2087913441MaRDI QIDQ500555

Xinyu Zhang

Publication date: 5 October 2015

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

Full work available at URL: https://doi.org/10.1016/j.econlet.2015.03.017

zbMATH Keywords

consistencyjackknife model averagingMallows model averagingsmoothed AICsmoothed BIC

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Linear regression; mixed models (62J05) Bootstrap, jackknife and other resampling methods (62F40)

Related Items (11)

Cross-validation for selecting the penalty factor in least squares model averaging ⋮ AN ASYMPTOTIC THEORY FOR LEAST SQUARES MODEL AVERAGING WITH NESTED MODELS ⋮ Model averaging prediction by \(K\)-fold cross-validation ⋮ Time-varying forecast combination for factor-augmented regressions with smooth structural changes ⋮ Least squares model averaging for two non-nested linear models ⋮ Limit of the optimal weight in least squares model averaging with non-nested models ⋮ Time-varying model averaging ⋮ Model averaging estimator in ridge regression and its large sample properties ⋮ Corrected Mallows criterion for model averaging ⋮ Weighted-averaging estimator for possible threshold in segmented linear regression model ⋮ Optimal model averaging for divergent-dimensional Poisson regressions

Cites Work

• Unnamed Item
• Unnamed Item
• Jackknife model averaging
• Asymptotic optimality of generalized \(C_ L\), cross-validation, and generalized cross-validation in regression with heteroskedastic errors
• Asymptotic optimality for \(C_ p\), \(C_ L\), cross-validation and generalized cross-validation: Discrete index set
• Distribution theory of the least squares averaging estimator
• Optimal Weight Choice for Frequentist Model Average Estimators
• Model Selection: An Integral Part of Inference
• Estimation of Regression Coefficients of Interest when Other Regression Coefficients are of no Interest
• Model averaging, asymptotic risk, and regressor groups
• Least Squares Model Averaging

This page was built for publication: Consistency of model averaging estimators