Generalized Least Squares Model Averaging
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- Steel, Mark F. J., 2017. "Model Averaging and its Use in Economics," MPRA Paper 81568, University Library of Munich, Germany.
- Cong Li & Qi Li & Jeffrey Racine & DAIQIANG ZHANG, 2017. "Optimal Model Averaging Of Varying Coefficient Models," Department of Economics Working Papers 2017-01, McMaster University.
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Keywordsmodel averaging; GLS; FGLS; asymptotic optimality; Mallows' Cp;
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2013-04-06 (All new papers)
- NEP-ECM-2013-04-06 (Econometrics)
- NEP-ORE-2013-04-06 (Operations Research)
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