Least squares model averaging by Mallows criterion

DOI10.1016/j.jeconom.2009.10.030zbMath1431.62291OpenAlexW2052025831MaRDI QIDQ530944

Alan T. K. Wan, Guo Hua Zou, Xinyu Zhang

Publication date: 1 August 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2009.10.030

zbMATH Keywords

asymptotic optimality non-nested models Mallows criterion continuous weights

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Linear regression; mixed models (62J05)

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