Least squares model averaging by Mallows criterion

Journal of Econometrics

Volumn 156, Issue 2, 2010, Pages 277-283

  Wan, Alan T K ^a   Zhang, Xinyu ^b   Zou, Guohua ^b  

^a CITY UNIVERSITY OF HONG KONG   (Hong Kong)

^b CHINESE ACADEMY OF SCIENCES   (China)

Author keywords

Asymptotic optimality; Continuous weights; Mallows criterion; Non nested models

Indexed keywords

ASYMPTOTIC OPTIMALITY; CONTINUOUS MODELS; DISCRETE SETS; LEAST SQUARE; LINEAR COMBINATIONS; MODEL AVERAGING; OPTIMAL MODEL; OPTIMALITY; SQUARED ERRORS; THEORETICAL BASIS;

ASYMPTOTIC ANALYSIS; THREE TERM CONTROL SYSTEMS;

ESTIMATION;

EID: 77950520470     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2009.10.030     Document Type: Article

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