Prediction model averaging estimator

DOI10.1016/j.econlet.2015.03.027zbMath1321.62080OpenAlexW2037522963MaRDI QIDQ500561

Tian Xie

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.2015.03.027

zbMATH Keywords

convex optimizationmodel averagingsocial media big data

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Linear regression; mixed models (62J05) Statistical methods; risk measures (91G70)

Related Items (11)

Model averaging with averaging covariance matrix ⋮ Heteroscedasticity-robust model screening: a useful toolkit for model averaging in big data analytics ⋮ Frequentist model averaging for envelope models ⋮ A model‐averaging treatment of multiple instruments in Poisson models with errors ⋮ Optimal Model Averaging of Mixed-Data Kernel-Weighted Spline Regressions ⋮ Multimodel inference based on smoothed information criteria ⋮ Corrected Mallows criterion for model averaging ⋮ Weighing asset pricing factors: a least squares model averaging approach ⋮ A NEW STUDY ON ASYMPTOTIC OPTIMALITY OF LEAST SQUARES MODEL AVERAGING ⋮ Model averaging in a multiplicative heteroscedastic model ⋮ Optimal model averaging for divergent-dimensional Poisson regressions

Cites Work

• Unnamed Item
• Least squares model averaging by Mallows criterion
• Jackknife model averaging
• Asymptotic optimality for \(C_ p\), \(C_ L\), cross-validation and generalized cross-validation: Discrete index set
• Model averaging based on Kullback-Leibler distance
• Selection of Regressors
• Least Squares Model Averaging
• Some Comments on C P

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