Model averaging by jackknife criterion in models with dependent data

2013/02/08 by Xinyu Zhang, Alan T.K. Wan, Alan T. K. Wan +1 · 6 citations
Economics, Econometrics and Finance · Mathematics · #Monetary Policy and Economic Impact #Statistical Methods and Inference #Financial Risk and Volatility Modeling

paper · doi:10.1016/j.jeconom.2013.01.004

Citations

• FEASIBLE CROSS-VALIDATORY MODEL SELECTION FOR GENERAL STATIONARY PROCESSES

Cited by

• A theoretical comparison of weight constraints in forecast combination and model averaging
• Prediction Intervals for Model Averaging
• Regression Model Selection Under General Conditions
• Model Averaging by Cross-validation for Partially Linear Functional Additive Models
• Mean-shift least squares model averaging
• Average treatment effect estimation in randomized controlled trials under the Rubin causal model via model averaging