Model averaging with covariates that are missing completely at random
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References listed on IDEAS
- Wan, Alan T.K. & Zhang, Xinyu & Zou, Guohua, 2010. "Least squares model averaging by Mallows criterion," Journal of Econometrics, Elsevier, vol. 156(2), pages 277-283, June.
- repec:hal:journl:peer-00815561 is not listed on IDEAS
- Schomaker, Michael & Wan, Alan T.K. & Heumann, Christian, 2010. "Frequentist Model Averaging with missing observations," Computational Statistics & Data Analysis, Elsevier, vol. 54(12), pages 3336-3347, December.
- repec:taf:jnlbes:v:30:y:2012:i:1:p:132-142 is not listed on IDEAS
- Bruce E. Hansen, 2007. "Least Squares Model Averaging," Econometrica, Econometric Society, vol. 75(4), pages 1175-1189, July.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Zhao, Shangwei & Zhou, Jianhong & Li, Hongjun, 2016. "Model averaging with high-dimensional dependent data," Economics Letters, Elsevier, vol. 148(C), pages 68-71.
More about this item
KeywordsAsymptotic optimality; Mallows model averaging; Missing data;
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
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