Model averaging in a multiplicative heteroscedastic model
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Publication:5861029
DOI10.1080/07474938.2020.1770995zbMath1490.62187OpenAlexW3033293355MaRDI QIDQ5861029
Alan T. K. Wan, Yanyuan Ma, Xinyu Zhang, Shou-Yang Wang, Shang-Wei Zhao
Publication date: 4 March 2022
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07474938.2020.1770995
plug-inmultiplicative heteroscedasticitymodel averagingheteroscedasticity-robustsquared prediction risk
Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Linear regression; mixed models (62J05)
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Cites Work
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