Optimal Model Averaging of Mixed-Data Kernel-Weighted Spline Regressions
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References listed on IDEAS
- Cheng, Xu & Hansen, Bruce E., 2015.
"Forecasting with factor-augmented regression: A frequentist model averaging approach,"
Journal of Econometrics,
Elsevier, vol. 186(2), pages 280-293.
- Xu Cheng & Bruce E. Hansen, 2012. "Forecasting with Factor-Augmented Regression: A Frequentist Model Averaging Approach," PIER Working Paper Archive 12-046, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Tomohiro Ando & Ker-Chau Li, 2014. "A Model-Averaging Approach for High-Dimensional Regression," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 109(505), pages 254-265, March.
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- Claeskens,Gerda & Hjort,Nils Lid, 2008. "Model Selection and Model Averaging," Cambridge Books, Cambridge University Press, number 9780521852258.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2018-05-21 (All new papers)
- NEP-ECM-2018-05-21 (Econometrics)
- NEP-ETS-2018-05-21 (Econometric Time Series)
- NEP-RMG-2018-05-21 (Risk Management)
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