Model averaging based on leave-subject-out cross-validation

DOI10.1016/j.jeconom.2015.07.006zbMath1419.62084OpenAlexW2208430066MaRDI QIDQ5964755

Xinyu Zhang, Yan Gao, Shou-Yang Wang, Guo Hua Zou

Publication date: 1 March 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2015.07.006

zbMATH Keywords

longitudinal datatime seriesasymptotic optimalitymodel averagingleave-subject-out cross-validation

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05)

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Uses Software

• SemiPar

Cites Work

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