Optimal model averaging based on forward-validation

Related Items (1)

Time-varying forecast combination for factor-augmented regressions with smooth structural changes

Cites Work

Unnamed Item
Unnamed Item
Selection of estimation window in the presence of breaks
Least-squares forecast averaging
Forecasting with factor-augmented regression: a frequentist model averaging approach
Least squares model averaging by Mallows criterion
Jackknife model averaging
Toward optimal model averaging in regression models with time series errors
Weighted average least squares estimation with nonspherical disturbances and an application to the Hong Kong housing market
Bayesian model averaging: A tutorial. (with comments and a rejoinder).
Heteroscedasticity-robust model screening: a useful toolkit for model averaging in big data analytics
Weighted-average least squares estimation of generalized linear models
Dependent central limit theorems and invariance principles
Shrinkage for categorical regressors
Jackknife model averaging for expectile regressions in increasing dimension
A new semiparametric estimation approach for large dynamic covariance matrices with multiple conditioning variables
Distribution theory of the least squares averaging estimator
Jackknife model averaging for quantile regressions
Frequentist model averaging for threshold models
Focused information criterion and model averaging for generalized additive partial linear models
Adaptively combined forecasting for discrete response time series
A useful central limit theorem for m-dependent variables
A comparison of two model averaging techniques with an application to growth empirics
On uniform asymptotic risk of averaging GMM estimators
Focused Information Criteria and Model Averaging for the Cox Hazard Regression Model
Information Theory and Mixing Least-Squares Regressions
Model Selection: An Integral Part of Inference
Adaptive Regression by Mixing
Frequentist Model Average Estimators
On the central limit theorem and iterated logarithm law for stationary processes
A NEW STUDY ON ASYMPTOTIC OPTIMALITY OF LEAST SQUARES MODEL AVERAGING
Heteroscedasticity‐robustCpmodel averaging
Model averaging in predictive regressions
A NEW MULTILEVEL MODELING APPROACH FOR CLUSTERED SURVIVAL DATA
Variable Selection for Logistic Regression Using a Prediction‐Focused Information Criterion
Forecast Combination Across Estimation Windows
Least Squares Model Averaging
Central limit theorems for martingales and for processes with stationary increments using a Skorokhod representation approach
Combining Linear Regression Models
Focused information criterion for locally misspecified vector autoregressive models
Nonstructural analysis of productivity growth for the industrialized countries: a jackknife model averaging approach
Maximum Likelihood Estimation of Misspecified Models
Model averaging based on leave-subject-out cross-validation

This page was built for publication: Optimal model averaging based on forward-validation