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Optimal Weight Choice for Frequentist Model Average Estimators

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  • Liang, Hua
  • Zou, Guohua
  • Wan, Alan T. K.
  • Zhang, Xinyu
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    Bibliographic Info

    Article provided by American Statistical Association in its journal Journal of the American Statistical Association.

    Volume (Year): 106 (2011)
    Issue (Month): 495 ()
    Pages: 1053-1066

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    Handle: RePEc:bes:jnlasa:v:106:i:495:y:2011:p:1053-1066

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    Cited by:
    1. Zhang, Xinyu & Wan, Alan T.K. & Zou, Guohua, 2013. "Model averaging by jackknife criterion in models with dependent data," Journal of Econometrics, Elsevier, vol. 174(2), pages 82-94.
    2. Zhang, Xinyu & Lu, Zudi & Zou, Guohua, 2013. "Adaptively combined forecasting for discrete response time series," Journal of Econometrics, Elsevier, vol. 176(1), pages 80-91.
    3. Wan, Alan T.K. & Zhang, Xinyu & Wang, Shouyang, 2014. "Frequentist model averaging for multinomial and ordered logit models," International Journal of Forecasting, Elsevier, vol. 30(1), pages 118-128.
    4. Elliott, Graham & Gargano, Antonio & Timmermann, Allan, 2013. "Complete subset regressions," Journal of Econometrics, Elsevier, vol. 177(2), pages 357-373.
    5. Billio, Monica & Casarin, Roberto & Ravazzolo, Francesco & van Dijk, Herman K., 2013. "Time-varying combinations of predictive densities using nonlinear filtering," Journal of Econometrics, Elsevier, vol. 177(2), pages 213-232.
    6. Liu, Chu-An, 2013. "Distribution Theory of the Least Squares Averaging Estimator," MPRA Paper 54201, University Library of Munich, Germany.
    7. Degui Li & Oliver Linton & Zudi Lu, 2012. "A Flexible Semiparametric Model for Time Series," Monash Econometrics and Business Statistics Working Papers 17/12, Monash University, Department of Econometrics and Business Statistics.
    8. Michael Schomaker, 2012. "Shrinkage averaging estimation," Statistical Papers, Springer, vol. 53(4), pages 1015-1034, November.
    9. Schomaker, Michael & Heumann, Christian, 2014. "Model selection and model averaging after multiple imputation," Computational Statistics & Data Analysis, Elsevier, vol. 71(C), pages 758-770.
    10. Martins, Luis F. & Gabriel, Vasco J., 2014. "Linear instrumental variables model averaging estimation," Computational Statistics & Data Analysis, Elsevier, vol. 71(C), pages 709-724.

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