A Class of Model Averaging Estimators
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References listed on IDEAS
- Qingfeng Liu & Ryo Okui, 2013. "Heteroscedasticity‐robust C(p) model averaging," Econometrics Journal, Royal Economic Society, vol. 16(3), pages 463-472, October.
- Bruce E. Hansen, 2014. "Model averaging, asymptotic risk, and regressor groups," Quantitative Economics, Econometric Society, vol. 5(3), pages 495-530, November.
- repec:taf:jnlasa:v:111:y:2016:i:516:p:1775-1790 is not listed on IDEAS
- Zhang, Xinyu & Ullah, Aman & Zhao, Shangwei, 2016. "On the dominance of Mallows model averaging estimator over ordinary least squares estimator," Economics Letters, Elsevier, vol. 142(C), pages 69-73.
- Liu, Chu-An, 2015.
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- Magnus, Jan R. & Powell, Owen & Prüfer, Patricia, 2010. "A comparison of two model averaging techniques with an application to growth empirics," Journal of Econometrics, Elsevier, vol. 154(2), pages 139-153, February.
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Keywordsfinite sample size; mean squared error; model averaging; sufficient condition;
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
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