Jackknife Model Averaging for Quantile Regressions
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- Lu, Xun & Su, Liangjun, 2015. "Jackknife model averaging for quantile regressions," Journal of Econometrics, Elsevier, vol. 188(1), pages 40-58.
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More about this item
Keywords
Final prediction error; High dimensionality; Model averaging; Model selection; Misspecification; Quantile regression;All these keywords.
JEL classification:
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2014-08-28 (Econometrics)
- NEP-FOR-2014-08-28 (Forecasting)
- NEP-ORE-2014-08-28 (Operations Research)
- NEP-SEA-2014-08-28 (South East Asia)
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