Post-averaging inference for optimal model averaging estimator in generalized linear models

Cites Work

Unnamed Item
Bagging binary and quantile predictors for time series
Forecasting with factor-augmented regression: a frequentist model averaging approach
Jackknife model averaging
Cube root asymptotics
Estimating the dimension of a model
Time-varying model averaging
Semiparametric model averaging prediction for dichotomous response
Distribution theory of the least squares averaging estimator
Jackknife model averaging for quantile regressions
Generalized aggregation of misspecified models: with an application to asset pricing
Efficiency for Regularization Parameter Selection in Penalized Likelihood Estimation of Misspecified Models
Uniform Convergence in Probability and Stochastic Equicontinuity
Maximum likelihood identification of Gaussian autoregressive moving average models
Model Selection: An Integral Part of Inference
OPTIMAL MODEL AVERAGING OF VARYING COEFFICIENT MODELS
Asymptotic post-selection inference for the Akaike information criterion
Model averaging, asymptotic risk, and regressor groups
Estimating Semi-Parametric Panel Multinomial Choice Models Using Cyclic Monotonicity
An Intervened Poisson Distribution and Its Medical Application
COMBINING FORECASTING PROCEDURES: SOME THEORETICAL RESULTS
Asymptotic Properties and Information Criteria for Misspecified Generalized Linear Mixed Models
INFERENCE AFTER MODEL AVERAGING IN LINEAR REGRESSION MODELS
Bridging AIC and BIC: A New Criterion for Autoregression
Least Squares Model Averaging
Model Selection Principles in Misspecified Models
Quantile aggregation and combination for stock return prediction
A semiparametric generalized ridge estimator and link with model averaging
Maximum Likelihood Estimation of Misspecified Models
Optimal Model Averaging of Mixed-Data Kernel-Weighted Spline Regressions
The coverage properties of confidence regions after model selection
Focused Information Criterion and Model Averaging for Large Panels With a Multifactor Error Structure
Model Averaging for Nonlinear Regression Models
Model Averaging for Prediction With Fragmentary Data