Least squares model averaging

Econometrica

Volumn 75, Issue 4, 2007, Pages 1175-1189

  Hansen, Bruce E ^a  

^a UNIVERSITY OF WISCONSIN MADISON   (United States)

Author keywords

Mallows criterion; Model selection; Optimality; Series estimators

Indexed keywords

EID: 34250303142     PISSN: 00129682     EISSN: 14680262     Source Type: Journal    
DOI: 10.1111/j.1468-0262.2007.00785.x     Document Type: Article

References (49)

1. Akaike, H. (1973 Information Theory and an Extension of the Maximum Likelihood Principle in Second International Symposium on Information Theory, ed. by B. Petroc and F. Csake. Budapest : Akademiai Kiado, 267 281.
2. Andrews, D. W. K. (1991 a Asymptotic Normality of Series Estimators for Nonparametric and Semiparametric Regression Models Econometrica, 59, 307 345.
3. Andrews, D. W. K. (1991 b Asymptotic Optimality of Generalized CL, Cross-Validation, and Generalized Cross-Validation in Regression with Heteroskedastic Errors Journal of Econometrics, 47, 359 377.
4. Andrews, D. W. K., and B. Lu (2001 Consistent Model and Moment Selection Procedures for GMM Estimation with Application to Dynamic Panel Data Models Journal of Econometrics, 101, 123 164.
5. Avramov, D. (2002 Stock Return Predictability and Model Uncertainty Journal of Financial Economics, 64, 423 458.
6. Brock, W., and S. Durlauf (2001 Growth Empirics and Reality World Bank Economic Review, 15, 229 272.
7. Brock, W., S. Durlauf, and K. D. West (2003 Policy Analysis in Uncertain Economic Environments Brookings Papers on Economic Activity, 1, 235 322.
8. Buckland, S. T., K. P. Burnham, and N. H. Augustin (1997 Model Selection: An Integral Part of Inference Biometrics, 53, 603 618.
9. Buhlmann, P. (1999 Efficient and Adaptive Post-Model-Selection Estimators Journal of Statistical Planning and Inference, 79, 1 9.
10. Burnham, K. P., and D. R. Anderson (2002 Model Selection and Multimodel Inference: A Practical Information - Theoretic Approach. Berlin : Springer-Verlag.
11. Claeskens, G., and N. L. Hjort (2003 The Focused Information Criterion Journal of the American Statistical Association, 98, 900 916.
12. Craven, P., and G. Wahba (1979 Smoothing Noisy Data with Spline Functions: Estimating the Correct Degree of Smoothing by the Method of Generalized Cross-Validation Numerische Mathematik, 31, 377 403.
13. Draper, D. (1995 Assessment and Propagation of Model Uncertainty Journal of the Royal Statistical Society, Ser. B, 57, 45 70.
14. Fan, J., and R. Li (2001 Variable Selection via Nonconcave Penalized Likelihood and Its Oracle Properties Journal of the American Statistical Association, 96, 1348 1360.
15. Fan, J., and H. Peng (2004 Nonconcave Penalized Likelihood with a Diverging Number of Parameters The Annals of Statistics, 32, 928 961.
16. Fernandez, C., E. Ley, and M. F. J. Steel (2001 a Benchmark Priors for Bayesian Model Averaging Journal of Econometrics, 100, 381 427.
17. Fernandez, C., E. Ley, and M. F. J. Steel (2001 b Model Uncertainty in Cross-Country Growth Regressions Journal of Applied Econometrics, 16, 563 576.
18. Garratt, A., K. Lee, M. H. Pesaran, and Y. Shin (2003 Forecasting Uncertainties in Macroeconomic Modelling: An Application to the UK Economy Journal of the American Statistical Association, 98, 829 838.
19. Hall, A. R., A. Inoue, K. Jana, and C. Shin (2007 Information in Generalized Method of Moments Estimation and Entropy-Based Moment Selection Journal of Econometrics, 138, 488 512.
20. Hjort, N. L., and G. Claeskens (2003 Frequentist Model Average Estimators Journal of the American Statistical Association, 98, 879 899.
21. Hoeting, J. A., D. Madigan, A. E. Raftery, and C. T. Volinsky (1999 Bayesian Model Averaging: A Tutorial Statistical Science, 14, 382 417.
22. Hong, H., B. Preston, and M. Shum (2003 Generalized Empirical Likelihood-Based Model Selection Criteria for Moment Condition Models Econometric Theory, 19, 923 943.
23. Kabaila, P. (1995 The Effect of Model Selection on Confidence Regions and Prediction Regions Econometric Theory, 11, 537 549.
24. Kabaila, P. (2002 On Variable Selection in Linear Regression Econometric Theory, 18, 913 925.
25. Knight, K., and W. Fu (2000 Asymptotics for Lasso-Type Estimators The Annals of Statistics, 28, 1356 1378.
26. Knox, T., J. H. Stock, and M. W. Watson (2004 Empirical Bayes Regression with Many Regressors Working Paper, Harvard University.
27. Lee, S., and A. Karagrigoriou (2001 An Asymptotically Optimal Selection of the Order of a Linear Process Sankhyā, Ser. A, 63, 93 106.
28. Leeb, H., and B. M. Pötscher (2003 The Finite-Sample Distribution of Post-Model-Selection Estimators and Uniform versus Non-Uniform Approximations Econometric Theory, 19, 100 142.
29. Leeb, H., and B. M. Pötscher (2005 Model Selection and Inference: Facts and Fiction Econometric Theory, 21, 21 59.
30. Leeb, H., and B. M. Pötscher (2006 Can One Estimate the Conditional Distribution of Post-Model-Selection Estimators? The Annals of Statistics, 34, 2554 2591.
31. Leung, G., and A. R. Barron (2006 Information Theory and Mixing Least-Squares Regressions IEEE Transactions on Information Theory, 52, 3396 3410.
32. Li, K.-C. (1987 Asymptotic Optimality for Cp, CL, Cross-Validation and Generalized Cross-Validation: Discrete Index Set The Annals of Statistics, 15, 958 975.
33. Mallows, C. L. (1973 Some Comments on Cp Technometrics, 15, 661 675.
34. Newey, W. K. (1997 Convergence Rates and Asymptotic Normality for Series Estimators Journal of Econometrics, 79, 147 168.
35. Potscher, B. M. (1991 Effects of Model Selection on Inference Econometric Theory, 7, 163 185.
36. Raftery, A. E., D. Madigan, and J. A. Hoeting (1997 Bayesian Model Averaging for Regression Models Journal of the American Statistical Association, 92, 179 191.
37. Raftery, A. E., and Y. Zheng (2003 Long-Run Performance of Bayesian Model Averaging Working Paper, University of Washington.
38. Sala-i-Martin, X., G. Doppelhofer, and R. Miller (2004 Determinants of Long-Term Growth: A Bayesian Averaging of Classical Estimates (BACE) Approach American Economic Review, 94, 813 835.
39. Schwarz, G. (1978 Estimating the Dimension of a Model The Annals of Statistics, 6, 461 464.
40. Shao, J. (1997 An Asymptotic Theory for Linear Model Selection Statistica Sinica, 7, 221 264.
41. Shibata, R. (1980 Asymptotically Efficient Selection of the Order of the Model for Estimating Parameters of a Linear Process The Annals of Statistics, 8, 147 164.
42. Shibata, R. (1981 An Optimal Selection of Regression Variables Biometrika, 68, 45 54.
43. Shibata, R. (1983 Asymptotic Mean Efficiency of a Selection of Regression Variables Annals of the Institute of Statistical Mathematics, 35, 415 423.
44. Stone, M. (1974 Cross-Validatory Choice and Assessment of Statistical Predictions Journal of the Royal Statistical Society, Ser. B, 36, 276 278.
45. Whittle, P. (1960 Bounds for the Moments of Linear and Quadratic Forms in Independent Variables Theory of Probability and Its Applications, 5, 302 305.
46. Wright, J. H. (2003 a Bayesian Model Averaging and Exchange Rate Forecasts International Finance Discussion Papers, 779, Board of Governors, Federal Reserve Board.
47. Wright, J. H. (2003 b Forecasting US Inflation by Bayesian Model Averaging International Finance Discussion Papers, 780, Board of Governors, Federal Reserve Board.
48. Yang, Y. (2001 Adaptive Regression by Mixing Journal of the American Statistical Association, 96, 574 586.
49. Yuan, Z., and Y. Yang (2005 Combining Linear Regression Models: When and How? Journal of the American Statistical Association, 100, 1202 1214.