AN ASYMPTOTIC THEORY FOR LEAST SQUARES MODEL AVERAGING WITH NESTED MODELS
From MaRDI portal
Publication:6042901
DOI10.1017/s0266466622000032OpenAlexW4210936287MaRDI QIDQ6042901
Fang Fang, Wenling Tian, Chao-xia Yuan
Publication date: 4 May 2023
Published in: Econometric Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s0266466622000032
Related Items
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Model averaging in semiparametric estimation of treatment effects
- Cross-validation for selecting a model selection procedure
- A flexible semiparametric forecasting model for time series
- Consistency of model averaging estimators
- Least squares model averaging by Mallows criterion
- A weight-relaxed model averaging approach for high-dimensional generalized linear models
- Jackknife model averaging
- Estimating the dimension of a model
- Bayesian model averaging: A tutorial. (with comments and a rejoinder).
- Model averaging based on leave-subject-out cross-validation for vector autoregressions
- Semiparametric model averaging prediction for dichotomous response
- On improvability of model selection by model averaging
- Limit of the optimal weight in least squares model averaging with non-nested models
- Distribution theory of the least squares averaging estimator
- On the adaptive elastic net with a diverging number of parameters
- Focused information criterion and model averaging for generalized additive partial linear models
- Optimal Weight Choice for Frequentist Model Average Estimators
- Model averaging based on Kullback-Leibler distance
- Information Theory and Mixing Least-Squares Regressions
- Science and Statistics
- Model Selection: An Integral Part of Inference
- Adaptive Regression by Mixing
- Frequentist Model Average Estimators
- The Focused Information Criterion
- OPTIMAL MODEL AVERAGING OF VARYING COEFFICIENT MODELS
- Model averaging, asymptotic risk, and regressor groups
- INFERENCE AFTER MODEL AVERAGING IN LINEAR REGRESSION MODELS
- A Model-Averaging Approach for High-Dimensional Regression
- A NEW STUDY ON ASYMPTOTIC OPTIMALITY OF LEAST SQUARES MODEL AVERAGING
- Heteroscedasticity‐robustCpmodel averaging
- Parsimonious Model Averaging With a Diverging Number of Parameters
- Optimal Model Averaging Estimation for Partially Linear Models
- A Mallows-Type Model Averaging Estimator for the Varying-Coefficient Partially Linear Model
- Model averaging and weight choice in linear mixed-effects models
- Least Squares Model Averaging
- AUTOMATED DISCOVERY IN ECONOMETRICS
- MODEL SELECTION AND INFERENCE: FACTS AND FICTION
- Combining Linear Regression Models
- Cholesky-based model averaging for covariance matrix estimation
