Jackknife model averaging for quantile regressions

Journal of Econometrics

Volumn 188, Issue 1, 2015, Pages 40-58

  Lu, Xun ^a   Su, Liangjun ^b  

^a HONG KONG UNIVERSITY OF SCIENCE AND TECHNOLOGY   (Hong Kong)

^b SINGAPORE MANAGEMENT UNIVERSITY   (Singapore)

Author keywords

Final prediction error; High dimensionality; Misspecification; Model averaging; Model selection; Quantile regression

Indexed keywords

ERRORS; FINANCIAL MARKETS; FORECASTING; INVESTMENTS; SAMPLING; STATISTICAL METHODS;

FINAL PREDICTION ERRORS; HIGH DIMENSIONALITY; MISSPECIFICATION; MODEL AVERAGING; MODEL SELECTION; QUANTILE REGRESSION;

REGRESSION ANALYSIS;

EID: 84937865458     PISSN: 03044076     EISSN: 18726895     Source Type: Journal    
DOI: 10.1016/j.jeconom.2014.11.005     Document Type: Article

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