Complete subset averaging approach for high-dimensional generalized linear models
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DOI: 10.1016/j.econlet.2023.111084
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More about this item
Keywords
Asymptotic optimality; Complete subset averaging; Kullback–Leibler loss; Generalized linear models;All these keywords.
JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C35 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions
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