Chu-An Liu
Personal Details
First Name: | Chu-An |
Middle Name: | |
Last Name: | Liu |
Suffix: | |
RePEc Short-ID: | pli734 |
[This author has chosen not to make the email address public] | |
http://chuanliu.weebly.com/ | |
Institute of Economics, Academia Sinica, 128 Academia Road, Section 2, Nankang, Taipei 115, Taiwan | |
+886-2-27822791 ext. |
Affiliation
Institute of Economics
Academia Sinica
Taipei, Taiwanhttp://www.econ.sinica.edu.tw/
RePEc:edi:sinictw (more details at EDIRC)
Research output
Jump to: Working papers ArticlesWorking papers
- Yu-Chin Hsu & Martin Huber & Ying-Ying Lee & Chu-An Liu, 2021. "Testing Monotonicity of Mean Potential Outcomes in a Continuous Treatment with High-Dimensional Data," Papers 2106.04237, arXiv.org, revised Aug 2022.
- Yi-Ting Chen & Chu-An Liu, 2021.
"Model Averaging for Asymptotically Optimal Combined Forecasts,"
IEAS Working Paper : academic research
21-A002, Institute of Economics, Academia Sinica, Taipei, Taiwan.
- Chen, Yi-Ting & Liu, Chu-An, 2023. "Model averaging for asymptotically optimal combined forecasts," Journal of Econometrics, Elsevier, vol. 235(2), pages 592-607.
- Xinyu Zhang & Chu-An Liu, 2017.
"Inference after Model Averaging in Linear Regression Models,"
IEAS Working Paper : academic research
17-A005, Institute of Economics, Academia Sinica, Taipei, Taiwan, revised Apr 2018.
- Zhang, Xinyu & Liu, Chu-An, 2019. "Inference After Model Averaging In Linear Regression Models," Econometric Theory, Cambridge University Press, vol. 35(4), pages 816-841, August.
- Chu-An Liu & Biing-Shen Kuo & Wen-Jen Tsay, 2017. "Autoregressive Spectral Averaging Estimator," IEAS Working Paper : academic research 17-A013, Institute of Economics, Academia Sinica, Taipei, Taiwan.
- Yu-Chin Hsu & Chu-An Liu & Xiaoxia Shi, 2016.
"Testing Generalized Regression Monotonicity,"
IEAS Working Paper : academic research
16-A009, Institute of Economics, Academia Sinica, Taipei, Taiwan.
- Hsu, Yu-Chin & Liu, Chu-An & Shi, Xiaoxia, 2019. "Testing Generalized Regression Monotonicity," Econometric Theory, Cambridge University Press, vol. 35(6), pages 1146-1200, December.
- Shou-Yung Yin & Chu-An Liu & Chang-Ching Lin, 2016.
"Focused Information Criterion and Model Averaging for Large Panels with a Multifactor Error Structure,"
IEAS Working Paper : academic research
16-A016, Institute of Economics, Academia Sinica, Taipei, Taiwan.
- Shou-Yung Yin & Chu-An Liu & Chang-Ching Lin, 2021. "Focused Information Criterion and Model Averaging for Large Panels With a Multifactor Error Structure," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 39(1), pages 54-68, January.
- Chu-An Liu & Jing Tao, 2016. "Model Selection and Model Averaging in Nonparametric Instrumental Variables Models," IEAS Working Paper : academic research 16-A002, Institute of Economics, Academia Sinica, Taipei, Taiwan.
- Liu, Chu-An & Kuo, Biing-Shen, 2014.
"Model Averaging in Predictive Regressions,"
MPRA Paper
54198, University Library of Munich, Germany.
- Chu‐An Liu & Biing‐Shen Kuo, 2016. "Model averaging in predictive regressions," Econometrics Journal, Royal Economic Society, vol. 19(2), pages 203-231, June.
- Liu, Chu-An, 2013.
"Distribution Theory of the Least Squares Averaging Estimator,"
MPRA Paper
54201, University Library of Munich, Germany.
- Liu, Chu-An, 2015. "Distribution theory of the least squares averaging estimator," Journal of Econometrics, Elsevier, vol. 186(1), pages 142-159.
- Liu, Chu-An, 2012. "A plug-in averaging estimator for regressions with heteroskedastic errors," MPRA Paper 41414, University Library of Munich, Germany.
Articles
- Chen, Yi-Ting & Liu, Chu-An, 2023.
"Model averaging for asymptotically optimal combined forecasts,"
Journal of Econometrics, Elsevier, vol. 235(2), pages 592-607.
- Yi-Ting Chen & Chu-An Liu, 2021. "Model Averaging for Asymptotically Optimal Combined Forecasts," IEAS Working Paper : academic research 21-A002, Institute of Economics, Academia Sinica, Taipei, Taiwan.
- Zhang, Xinyu & Liu, Chu-An, 2023. "Model averaging prediction by K-fold cross-validation," Journal of Econometrics, Elsevier, vol. 235(1), pages 280-301.
- Shou-Yung Yin & Chu-An Liu & Chang-Ching Lin, 2021.
"Focused Information Criterion and Model Averaging for Large Panels With a Multifactor Error Structure,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 39(1), pages 54-68, January.
- Shou-Yung Yin & Chu-An Liu & Chang-Ching Lin, 2016. "Focused Information Criterion and Model Averaging for Large Panels with a Multifactor Error Structure," IEAS Working Paper : academic research 16-A016, Institute of Economics, Academia Sinica, Taipei, Taiwan.
- Zhang, Xinyu & Liu, Chu-An, 2019.
"Inference After Model Averaging In Linear Regression Models,"
Econometric Theory, Cambridge University Press, vol. 35(4), pages 816-841, August.
- Xinyu Zhang & Chu-An Liu, 2017. "Inference after Model Averaging in Linear Regression Models," IEAS Working Paper : academic research 17-A005, Institute of Economics, Academia Sinica, Taipei, Taiwan, revised Apr 2018.
- Hsu, Yu-Chin & Liu, Chu-An & Shi, Xiaoxia, 2019.
"Testing Generalized Regression Monotonicity,"
Econometric Theory, Cambridge University Press, vol. 35(6), pages 1146-1200, December.
- Yu-Chin Hsu & Chu-An Liu & Xiaoxia Shi, 2016. "Testing Generalized Regression Monotonicity," IEAS Working Paper : academic research 16-A009, Institute of Economics, Academia Sinica, Taipei, Taiwan.
- Liu, Chu-An, 2018. "Averaging estimators for kernel regressions," Economics Letters, Elsevier, vol. 171(C), pages 102-105.
- Chu‐An Liu & Biing‐Shen Kuo, 2016.
"Model averaging in predictive regressions,"
Econometrics Journal, Royal Economic Society, vol. 19(2), pages 203-231, June.
- Liu, Chu-An & Kuo, Biing-Shen, 2014. "Model Averaging in Predictive Regressions," MPRA Paper 54198, University Library of Munich, Germany.
- Liu, Chu-An, 2015.
"Distribution theory of the least squares averaging estimator,"
Journal of Econometrics, Elsevier, vol. 186(1), pages 142-159.
- Liu, Chu-An, 2013. "Distribution Theory of the Least Squares Averaging Estimator," MPRA Paper 54201, University Library of Munich, Germany.
Citations
Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.Working papers
- Xinyu Zhang & Chu-An Liu, 2017.
"Inference after Model Averaging in Linear Regression Models,"
IEAS Working Paper : academic research
17-A005, Institute of Economics, Academia Sinica, Taipei, Taiwan, revised Apr 2018.
- Zhang, Xinyu & Liu, Chu-An, 2019. "Inference After Model Averaging In Linear Regression Models," Econometric Theory, Cambridge University Press, vol. 35(4), pages 816-841, August.
Cited by:
- Chen, Qitong & Hong, Yongmiao & Li, Haiqi, 2024. "Time-varying forecast combination for factor-augmented regressions with smooth structural changes," Journal of Econometrics, Elsevier, vol. 240(1).
- Kevin Huynh, 2024. "Weighted-Average Least Squares for Negative Binomial Regression," Papers 2404.11324, arXiv.org.
- Sun, Yuying & Hong, Yongmiao & Wang, Shouyang & Zhang, Xinyu, 2023. "Penalized time-varying model averaging," Journal of Econometrics, Elsevier, vol. 235(2), pages 1355-1377.
- Guillaume Coqueret, 2023. "Forking paths in financial economics," Papers 2401.08606, arXiv.org.
- Huihang Liu & Xinyu Zhang, 2023. "Frequentist model averaging for undirected Gaussian graphical models," Biometrics, The International Biometric Society, vol. 79(3), pages 2050-2062, September.
- Kotlyarova, Yulia & Schafgans, Marcia M.A. & Zinde-Walsh, Victoria, 2021.
"Rates of expansions for functional estimators,"
LSE Research Online Documents on Economics
113436, London School of Economics and Political Science, LSE Library.
- Yulia Kotlyarova & Marcia M. A. Schafgans & Victoria Zinde-Walsh, 2021. "Rates of Expansions for Functional Estimators," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 19(1), pages 121-139, December.
- Yongmiao Hong & Tae-Hwy Lee & Yuying Sun & Shouyang Wang & Xinyu Zhang, 2017.
"Time-varying Model Averaging,"
Working Papers
202001, University of California at Riverside, Department of Economics.
- Sun, Yuying & Hong, Yongmiao & Lee, Tae-Hwy & Wang, Shouyang & Zhang, Xinyu, 2021. "Time-varying model averaging," Journal of Econometrics, Elsevier, vol. 222(2), pages 974-992.
- Sun, Yuying & Zhang, Xinyu & Wan, Alan T.K. & Wang, Shouyang, 2022. "Model averaging for interval-valued data," European Journal of Operational Research, Elsevier, vol. 301(2), pages 772-784.
- Giuseppe De Luca & Jan R. Magnus & Franco Peracchi, 2020.
"Sampling properties of the Bayesian posterior mean with anapplication to WALS estimation,"
EIEF Working Papers Series
2003, Einaudi Institute for Economics and Finance (EIEF), revised Mar 2020.
- Giuseppe De Luca & Jan R. Magnus & Franco Peracchi, 2020. "Sampling properties of the Bayesian posterior mean with an application to WALS estimation," Tinbergen Institute Discussion Papers 20-015/III, Tinbergen Institute.
- De Luca, Giuseppe & Magnus, Jan R. & Peracchi, Franco, 2022. "Sampling properties of the Bayesian posterior mean with an application to WALS estimation," Journal of Econometrics, Elsevier, vol. 230(2), pages 299-317.
- Giuseppe De Luca & Jan Magnus & Franco Peracchi, 2022.
"Asymptotic properties of the weighted average least squares (WALS) estimator,"
Tinbergen Institute Discussion Papers
22-022/III, Tinbergen Institute.
- Giuseppe De Luca & Jan R. Magnus & Franco Peracchi, 2022. "Asymptotic properties of the weighted-average least squares (WALS) estimator," EIEF Working Papers Series 2203, Einaudi Institute for Economics and Finance (EIEF), revised Mar 2022.
- Michael Schomaker & Christian Heumann, 2020. "When and when not to use optimal model averaging," Statistical Papers, Springer, vol. 61(5), pages 2221-2240, October.
- Giuseppe Luca & Jan R. Magnus & Franco Peracchi, 2023.
"Weighted-Average Least Squares (WALS): Confidence and Prediction Intervals,"
Computational Economics, Springer;Society for Computational Economics, vol. 61(4), pages 1637-1664, April.
- Giuseppe De Luca & Jan R. Magnus & Franco Peracchi, 2021. "Weighted-average least squares (WALS): Confidence and prediction intervals," Tinbergen Institute Discussion Papers 21-038/III, Tinbergen Institute.
- Giuseppe De Luca & Jan R. Magnus & Franco Peracchi, 2021. "Weighted-average least squares (WALS): Confidence and prediction intervals," EIEF Working Papers Series 2108, Einaudi Institute for Economics and Finance (EIEF), revised May 2021.
- Qiu, Yue & Wang, Zongrun & Xie, Tian & Zhang, Xinyu, 2021. "Forecasting Bitcoin realized volatility by exploiting measurement error under model uncertainty," Journal of Empirical Finance, Elsevier, vol. 62(C), pages 179-201.
- Boot, Tom, 2023. "Joint inference based on Stein-type averaging estimators in the linear regression model," Journal of Econometrics, Elsevier, vol. 235(2), pages 1542-1563.
- Liao, Jun & Zou, Guohua, 2020. "Corrected Mallows criterion for model averaging," Computational Statistics & Data Analysis, Elsevier, vol. 144(C).
- Fang, Fang & Li, Jialiang & Xia, Xiaochao, 2022. "Semiparametric model averaging prediction for dichotomous response," Journal of Econometrics, Elsevier, vol. 229(2), pages 219-245.
- Fang, Fang & Liu, Minhan, 2020. "Limit of the optimal weight in least squares model averaging with non-nested models," Economics Letters, Elsevier, vol. 196(C).
- Feng, Yang & Liu, Qingfeng & Okui, Ryo, 2020. "On the sparsity of Mallows model averaging estimator," Economics Letters, Elsevier, vol. 187(C).
- Fang, Fang & Yu, Zhou, 2020. "Model averaging assisted sufficient dimension reduction," Computational Statistics & Data Analysis, Elsevier, vol. 152(C).
- Fang, Fang & Yang, Qiwei & Tian, Wenling, 2022. "Cross-validation for selecting the penalty factor in least squares model averaging," Economics Letters, Elsevier, vol. 217(C).
- Yu-Chin Hsu & Chu-An Liu & Xiaoxia Shi, 2016.
"Testing Generalized Regression Monotonicity,"
IEAS Working Paper : academic research
16-A009, Institute of Economics, Academia Sinica, Taipei, Taiwan.
- Hsu, Yu-Chin & Liu, Chu-An & Shi, Xiaoxia, 2019. "Testing Generalized Regression Monotonicity," Econometric Theory, Cambridge University Press, vol. 35(6), pages 1146-1200, December.
Cited by:
- Ismael Mourifie & Marc Henry & Romuald Meango, 2017.
"Sharp bounds and testability of a Roy model of STEM major choices,"
Papers
1709.09284, arXiv.org, revised Nov 2019.
- Ismaël Mourifié & Marc Henry & Romuald Méango, 2020. "Sharp Bounds and Testability of a Roy Model of STEM Major Choices," Journal of Political Economy, University of Chicago Press, vol. 128(8), pages 3220-3283.
- Ismael Mourifié & Marc Henry & Romuald Méango, 2018. "Sharp Bounds and Testability of a Roy Model of STEM Major Choices," Working Papers 2018-084, Human Capital and Economic Opportunity Working Group.
- Ismael Mourifie & Marc Henry & Romuald Meango, 2018. "Sharp Bounds And Testability Of A Roy Model Of Stem Major Choices," Working Papers tecipa-624, University of Toronto, Department of Economics.
- Matthew A. Masten & Alexandre Poirier, 2018. "Interpreting Quantile Independence," Papers 1804.10957, arXiv.org.
- Lixiong Li & D'esir'e K'edagni & Ismael Mourifi'e, 2020.
"Discordant Relaxations of Misspecified Models,"
Papers
2012.11679, arXiv.org, revised Apr 2024.
- Lixiong Li & Désiré Kédagni & Ismaël Mourifié, 2024. "Discordant relaxations of misspecified models," Quantitative Economics, Econometric Society, vol. 15(2), pages 331-379, May.
- Kedagni, Desire & Li, Lixiong & Mourifie, Ismael, 2021. "Discordant Relaxations of Misspecified Models," ISU General Staff Papers 202107280700001131, Iowa State University, Department of Economics.
- Henry, Marc & Méango, Romuald & Mourifié, Ismaël, 2024. "Role models and revealed gender-specific costs of STEM in an extended Roy model of major choice," Journal of Econometrics, Elsevier, vol. 238(2).
- Yoichi Arai & Taisuke Otsu & Mengshan Xu, 2022.
"GLS under Monotone Heteroskedasticity,"
Papers
2210.13843, arXiv.org, revised Jan 2024.
- Yoici Arai & Taisuke Otsu & Mengshan Xu, 2022. "GLS under monotone heteroskedasticity," STICERD - Econometrics Paper Series 625, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Chetverikov, Denis & Wilhelm, Daniel & Kim, Dongwoo, 2021.
"An Adaptive Test Of Stochastic Monotonicity,"
Econometric Theory, Cambridge University Press, vol. 37(3), pages 495-536, June.
- Denis Chetverikov & Daniel Wilhelm & Dongwoo Kim, 2020. "An Adaptive Test of Stochastic Monotonicity," CeMMAP working papers CWP17/20, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Denis Chetverikov & Daniel Wilhelm & Dongwoo Kim, 2018. "An adaptive test of stochastic monotonicity," CeMMAP working papers CWP24/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Denis Chetverikov & Daniel Wilhelm & Dongwoo Kim, 2019. "An adaptive test of stochastic monotonicity," CeMMAP working papers CWP49/19, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Sun, Zhenting, 2023. "Instrument validity for heterogeneous causal effects," Journal of Econometrics, Elsevier, vol. 237(2).
- Yu‐Chin Hsu & Shu Shen, 2021. "Testing monotonicity of conditional treatment effects under regression discontinuity designs," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(3), pages 346-366, April.
- Yu-Chin Hsu & Martin Huber & Ying-Ying Lee & Chu-An Liu, 2021. "Testing Monotonicity of Mean Potential Outcomes in a Continuous Treatment with High-Dimensional Data," Papers 2106.04237, arXiv.org, revised Aug 2022.
- Zheng Fang & Juwon Seo, 2019. "A Projection Framework for Testing Shape Restrictions That Form Convex Cones," Papers 1910.07689, arXiv.org, revised Sep 2021.
- Shou-Yung Yin & Chu-An Liu & Chang-Ching Lin, 2016.
"Focused Information Criterion and Model Averaging for Large Panels with a Multifactor Error Structure,"
IEAS Working Paper : academic research
16-A016, Institute of Economics, Academia Sinica, Taipei, Taiwan.
- Shou-Yung Yin & Chu-An Liu & Chang-Ching Lin, 2021. "Focused Information Criterion and Model Averaging for Large Panels With a Multifactor Error Structure," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 39(1), pages 54-68, January.
Cited by:
- Artūras Juodis, 2022. "A regularization approach to common correlated effects estimation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(4), pages 788-810, June.
- Jad Beyhum, 2024. "Counterfactuals in factor models," Papers 2401.03293, arXiv.org.
- Christian Brownlees & Vladislav Morozov, 2022. "Unit Averaging for Heterogeneous Panels," Papers 2210.14205, arXiv.org, revised May 2024.
- Liu, Chu-An & Kuo, Biing-Shen, 2014.
"Model Averaging in Predictive Regressions,"
MPRA Paper
54198, University Library of Munich, Germany.
- Chu‐An Liu & Biing‐Shen Kuo, 2016. "Model averaging in predictive regressions," Econometrics Journal, Royal Economic Society, vol. 19(2), pages 203-231, June.
Cited by:
- Yi-Ting Chen & Chu-An Liu, 2021.
"Model Averaging for Asymptotically Optimal Combined Forecasts,"
IEAS Working Paper : academic research
21-A002, Institute of Economics, Academia Sinica, Taipei, Taiwan.
- Chen, Yi-Ting & Liu, Chu-An, 2023. "Model averaging for asymptotically optimal combined forecasts," Journal of Econometrics, Elsevier, vol. 235(2), pages 592-607.
- Sun, Yuying & Hong, Yongmiao & Wang, Shouyang & Zhang, Xinyu, 2023. "Penalized time-varying model averaging," Journal of Econometrics, Elsevier, vol. 235(2), pages 1355-1377.
- In, YeonJun & Jung, Jae-Yoon, 2022. "Simple averaging of direct and recursive forecasts via partial pooling using machine learning," International Journal of Forecasting, Elsevier, vol. 38(4), pages 1386-1399.
- Michael Schomaker & Christian Heumann, 2020. "When and when not to use optimal model averaging," Statistical Papers, Springer, vol. 61(5), pages 2221-2240, October.
- Boot, Tom, 2023. "Joint inference based on Stein-type averaging estimators in the linear regression model," Journal of Econometrics, Elsevier, vol. 235(2), pages 1542-1563.
- Chu-An Liu & Biing-Shen Kuo & Wen-Jen Tsay, 2017. "Autoregressive Spectral Averaging Estimator," IEAS Working Paper : academic research 17-A013, Institute of Economics, Academia Sinica, Taipei, Taiwan.
- Hounyo, Ulrich & Lahiri, Kajal, 2023.
"Estimating the variance of a combined forecast: Bootstrap-based approach,"
Journal of Econometrics, Elsevier, vol. 232(2), pages 445-468.
- Ulrich Hounyo & Kajal Lahiri, 2021. "Estimating the Variance of a Combined Forecast: Bootstrap-Based Approach," CREATES Research Papers 2021-14, Department of Economics and Business Economics, Aarhus University.
- Shaobo Jin & Sebastian Ankargren, 2019. "Frequentist Model Averaging in Structural Equation Modelling," Psychometrika, Springer;The Psychometric Society, vol. 84(1), pages 84-104, March.
- Zhang, Xiaomeng & Zhang, Xinyu, 2023. "Optimal model averaging based on forward-validation," Journal of Econometrics, Elsevier, vol. 237(2).
- Liu, Chu-An, 2013.
"Distribution Theory of the Least Squares Averaging Estimator,"
MPRA Paper
54201, University Library of Munich, Germany.
- Liu, Chu-An, 2015. "Distribution theory of the least squares averaging estimator," Journal of Econometrics, Elsevier, vol. 186(1), pages 142-159.
Cited by:
- Gao, Yan & Zhang, Xinyu & Wang, Shouyang & Zou, Guohua, 2016. "Model averaging based on leave-subject-out cross-validation," Journal of Econometrics, Elsevier, vol. 192(1), pages 139-151.
- Tu, Yundong & Yi, Yanping, 2017. "Forecasting cointegrated nonstationary time series with time-varying variance," Journal of Econometrics, Elsevier, vol. 196(1), pages 83-98.
- Phillip Heiler & Jana Mareckova, 2019. "Shrinkage for Categorical Regressors," Papers 1901.01898, arXiv.org.
- Toru Kitagawa & Chris Muris, 2015.
"Model averaging in semiparametric estimation of treatment effects,"
CeMMAP working papers
CWP46/15, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Toru Kitagawa & Chris Muris, 2015. "Model averaging in semiparametric estimation of treatment effects," CeMMAP working papers 46/15, Institute for Fiscal Studies.
- Kitagawa, Toru & Muris, Chris, 2016. "Model averaging in semiparametric estimation of treatment effects," Journal of Econometrics, Elsevier, vol. 193(1), pages 271-289.
- Qingfeng Liu & Qingsong Yao & Guoqing Zhao, 2020. "Model averaging estimation for conditional volatility models with an application to stock market volatility forecast," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(5), pages 841-863, August.
- Zhang, Xinyu & Liu, Chu-An, 2023. "Model averaging prediction by K-fold cross-validation," Journal of Econometrics, Elsevier, vol. 235(1), pages 280-301.
- Yi-Ting Chen & Chu-An Liu, 2021.
"Model Averaging for Asymptotically Optimal Combined Forecasts,"
IEAS Working Paper : academic research
21-A002, Institute of Economics, Academia Sinica, Taipei, Taiwan.
- Chen, Yi-Ting & Liu, Chu-An, 2023. "Model averaging for asymptotically optimal combined forecasts," Journal of Econometrics, Elsevier, vol. 235(2), pages 592-607.
- Giuseppe Cavaliere & S'ilvia Gonc{c}alves & Morten {O}rregaard Nielsen & Edoardo Zanelli, 2022. "Bootstrap inference in the presence of bias," Papers 2208.02028, arXiv.org, revised Nov 2023.
- Sun, Yuying & Hong, Yongmiao & Wang, Shouyang & Zhang, Xinyu, 2023. "Penalized time-varying model averaging," Journal of Econometrics, Elsevier, vol. 235(2), pages 1355-1377.
- Giuseppe de Luca & Jan Magnus & Franco Peracchi, 2017.
"Weighted-Average Least Squares Estimation of Generalized Linear Models,"
Tinbergen Institute Discussion Papers
17-029/III, Tinbergen Institute.
- Giuseppe De Luca & Jan R. Magnus & Franco Peracchi, 2017. "Weighted-average least squares estimation of generalized linear models," EIEF Working Papers Series 1711, Einaudi Institute for Economics and Finance (EIEF), revised Aug 2017.
- De Luca, Giuseppe & Magnus, Jan R. & Peracchi, Franco, 2018. "Weighted-average least squares estimation of generalized linear models," Journal of Econometrics, Elsevier, vol. 204(1), pages 1-17.
- Shangwei Zhao & Aman Ullah & Xinyu Zhang, 2018. "A Class of Model Averaging Estimators," Working Paper series 18-11, Rimini Centre for Economic Analysis.
- Yongmiao Hong & Tae-Hwy Lee & Yuying Sun & Shouyang Wang & Xinyu Zhang, 2017.
"Time-varying Model Averaging,"
Working Papers
202001, University of California at Riverside, Department of Economics.
- Sun, Yuying & Hong, Yongmiao & Lee, Tae-Hwy & Wang, Shouyang & Zhang, Xinyu, 2021. "Time-varying model averaging," Journal of Econometrics, Elsevier, vol. 222(2), pages 974-992.
- Zhang, Xinyu & Ullah, Aman & Zhao, Shangwei, 2016. "On the dominance of Mallows model averaging estimator over ordinary least squares estimator," Economics Letters, Elsevier, vol. 142(C), pages 69-73.
- Sun, Yuying & Zhang, Xinyu & Wan, Alan T.K. & Wang, Shouyang, 2022. "Model averaging for interval-valued data," European Journal of Operational Research, Elsevier, vol. 301(2), pages 772-784.
- Qingfeng Liu & Ryo Okui & Arihiro Yoshimura, 2013.
"Generalized Least Squares Model Averaging,"
KIER Working Papers
855, Kyoto University, Institute of Economic Research.
- Qingfeng Liu & Ryo Okui & Arihiro Yoshimura, 2016. "Generalized Least Squares Model Averaging," Econometric Reviews, Taylor & Francis Journals, vol. 35(8-10), pages 1692-1752, December.
- Mark F. J. Steel, 2020.
"Model Averaging and Its Use in Economics,"
Journal of Economic Literature, American Economic Association, vol. 58(3), pages 644-719, September.
- Steel, Mark F. J., 2017. "Model Averaging and its Use in Economics," MPRA Paper 81568, University Library of Munich, Germany.
- Steel, Mark F. J., 2017. "Model Averaging and its Use in Economics," MPRA Paper 90110, University Library of Munich, Germany, revised 16 Nov 2018.
- Jiang Du & Zhongzhan Zhang & Tianfa Xie, 2017. "Focused information criterion and model averaging in censored quantile regression," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 80(5), pages 547-570, July.
- Giuseppe Luca & Jan R. Magnus & Franco Peracchi, 2023.
"Weighted-Average Least Squares (WALS): Confidence and Prediction Intervals,"
Computational Economics, Springer;Society for Computational Economics, vol. 61(4), pages 1637-1664, April.
- Giuseppe De Luca & Jan R. Magnus & Franco Peracchi, 2021. "Weighted-average least squares (WALS): Confidence and prediction intervals," Tinbergen Institute Discussion Papers 21-038/III, Tinbergen Institute.
- Giuseppe De Luca & Jan R. Magnus & Franco Peracchi, 2021. "Weighted-average least squares (WALS): Confidence and prediction intervals," EIEF Working Papers Series 2108, Einaudi Institute for Economics and Finance (EIEF), revised May 2021.
- Heiler, Phillip & Mareckova, Jana, 2021. "Shrinkage for categorical regressors," Journal of Econometrics, Elsevier, vol. 223(1), pages 161-189.
- Liu, Chu-An & Kuo, Biing-Shen, 2014.
"Model Averaging in Predictive Regressions,"
MPRA Paper
54198, University Library of Munich, Germany.
- Chu‐An Liu & Biing‐Shen Kuo, 2016. "Model averaging in predictive regressions," Econometrics Journal, Royal Economic Society, vol. 19(2), pages 203-231, June.
- Raffaella Giacomini & Toru Kitagawa & Alessio Volpicella, 2020.
"Uncertain Identification,"
CeMMAP working papers
CWP33/20, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Raffaella Giacomini & Toru Kitagawa & Alessio Volpicella, 2022. "Uncertain identification," Quantitative Economics, Econometric Society, vol. 13(1), pages 95-123, January.
- Raffaella Giacomini & Toru Kitagawa & Alessio Volpicella, 2017. "Uncertain identification," CeMMAP working papers CWP18/17, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Raffaella Giacomini & Toru Kitagawa & Alessio Volpicella, 2017. "Uncertain identification," CeMMAP working papers 18/17, Institute for Fiscal Studies.
- Qiu, Yue & Wang, Zongrun & Xie, Tian & Zhang, Xinyu, 2021. "Forecasting Bitcoin realized volatility by exploiting measurement error under model uncertainty," Journal of Empirical Finance, Elsevier, vol. 62(C), pages 179-201.
- Lu, Xun & Su, Liangjun, 2015.
"Jackknife model averaging for quantile regressions,"
Journal of Econometrics, Elsevier, vol. 188(1), pages 40-58.
- Xun Lu & Liangjun Su, 2014. "Jackknife Model Averaging for Quantile Regressions," Working Papers 11-2014, Singapore Management University, School of Economics.
- Zhao, Shangwei & Ullah, Aman & Zhang, Xinyu, 2018. "A class of model averaging estimators," Economics Letters, Elsevier, vol. 162(C), pages 101-106.
- Shou-Yung Yin & Chu-An Liu & Chang-Ching Lin, 2016.
"Focused Information Criterion and Model Averaging for Large Panels with a Multifactor Error Structure,"
IEAS Working Paper : academic research
16-A016, Institute of Economics, Academia Sinica, Taipei, Taiwan.
- Shou-Yung Yin & Chu-An Liu & Chang-Ching Lin, 2021. "Focused Information Criterion and Model Averaging for Large Panels With a Multifactor Error Structure," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 39(1), pages 54-68, January.
- Xun Lu, 2015. "A Covariate Selection Criterion for Estimation of Treatment Effects," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(4), pages 506-522, October.
- Boot, Tom, 2023. "Joint inference based on Stein-type averaging estimators in the linear regression model," Journal of Econometrics, Elsevier, vol. 235(2), pages 1542-1563.
- Shaobo Jin, 2022. "Frequentist Model Averaging in Structure Equation Model With Ordinal Data," Psychometrika, Springer;The Psychometric Society, vol. 87(3), pages 1130-1145, September.
- Chu-An Liu & Biing-Shen Kuo & Wen-Jen Tsay, 2017. "Autoregressive Spectral Averaging Estimator," IEAS Working Paper : academic research 17-A013, Institute of Economics, Academia Sinica, Taipei, Taiwan.
- Zhang, Xinyu, 2015. "Consistency of model averaging estimators," Economics Letters, Elsevier, vol. 130(C), pages 120-123.
- Aman Ullah & Xinyu Zhang, 2015. "Grouped Model Averaging for Finite Sample Size," Working Papers 201501, University of California at Riverside, Department of Economics.
- Liao, Jun & Zou, Guohua & Gao, Yan & Zhang, Xinyu, 2021. "Model averaging prediction for time series models with a diverging number of parameters," Journal of Econometrics, Elsevier, vol. 223(1), pages 190-221.
- Naoya Sueishi & Arihiro Yoshimura, 2017.
"Focused Information Criterion for Series Estimation in Partially Linear Models,"
The Japanese Economic Review, Springer, vol. 68(3), pages 352-363, September.
- Naoya Sueishi & Arihiro Yoshimura, 2017. "Focused Information Criterion for Series Estimation in Partially Linear Models," The Japanese Economic Review, Japanese Economic Association, vol. 68(3), pages 352-363, September.
- Naoya Sueishi & Arihiro Yoshimura, 2014. "Focused Information Criterion for Series Estimation in Partially Linear Models," Discussion papers e-14-001, Graduate School of Economics Project Center, Kyoto University.
- Ruoyao Shi, 2021. "An Averaging Estimator for Two Step M Estimation in Semiparametric Models," Working Papers 202105, University of California at Riverside, Department of Economics.
- Hounyo, Ulrich & Lahiri, Kajal, 2023.
"Estimating the variance of a combined forecast: Bootstrap-based approach,"
Journal of Econometrics, Elsevier, vol. 232(2), pages 445-468.
- Ulrich Hounyo & Kajal Lahiri, 2021. "Estimating the Variance of a Combined Forecast: Bootstrap-Based Approach," CREATES Research Papers 2021-14, Department of Economics and Business Economics, Aarhus University.
- Liao, Jun & Zou, Guohua, 2020. "Corrected Mallows criterion for model averaging," Computational Statistics & Data Analysis, Elsevier, vol. 144(C).
- Shaobo Jin & Sebastian Ankargren, 2019. "Frequentist Model Averaging in Structural Equation Modelling," Psychometrika, Springer;The Psychometric Society, vol. 84(1), pages 84-104, March.
- Zhang, Xiaomeng & Zhang, Xinyu, 2023. "Optimal model averaging based on forward-validation," Journal of Econometrics, Elsevier, vol. 237(2).
- Fang, Fang & Liu, Minhan, 2020. "Limit of the optimal weight in least squares model averaging with non-nested models," Economics Letters, Elsevier, vol. 196(C).
- Christian Brownlees & Vladislav Morozov, 2022. "Unit Averaging for Heterogeneous Panels," Papers 2210.14205, arXiv.org, revised May 2024.
- Hansen, Bruce E., 2016. "Efficient shrinkage in parametric models," Journal of Econometrics, Elsevier, vol. 190(1), pages 115-132.
- Edvard Bakhitov, 2020. "Frequentist Shrinkage under Inequality Constraints," Papers 2001.10586, arXiv.org.
- Ruoyao Shi & Zhipeng Liao, 2018. "An Averaging GMM Estimator Robust to Misspecification," Working Papers 201803, University of California at Riverside, Department of Economics.
- Liu, Chu-An, 2012.
"A plug-in averaging estimator for regressions with heteroskedastic errors,"
MPRA Paper
41414, University Library of Munich, Germany.
Cited by:
- Ivana Durovic, 2017. "The effects of intercompany lending on the current account balances of selected economies in the Western Balkans," Public Sector Economics, Institute of Public Finance, vol. 41(4), pages 421-441.
Articles
- Zhang, Xinyu & Liu, Chu-An, 2023.
"Model averaging prediction by K-fold cross-validation,"
Journal of Econometrics, Elsevier, vol. 235(1), pages 280-301.
Cited by:
- Mangla, Sachin Kumar & Srivastava, Praveen Ranjan & Eachempati, Prajwal & Tiwari, Aviral Kumar, 2024. "Exploring the impact of key performance factors on energy markets: From energy risk management perspectives," Energy Economics, Elsevier, vol. 131(C).
- Rongjun Cheng & Qinyin Li & Fuzhou Chen & Baobin Miao, 2024. "A Dual-Stage Attention-Based Vehicle Speed Prediction Model Considering Driver Heterogeneity with Fuel Consumption and Emissions Analysis," Sustainability, MDPI, vol. 16(4), pages 1-24, February.
- Wang, Hong & Sun, Fubao & Liu, Fa & Wang, Tingting & Liu, Wenbin & Feng, Yao, 2023. "Reconstruction of the pan evaporation based on meteorological factors with machine learning method over China," Agricultural Water Management, Elsevier, vol. 287(C).
- Shou-Yung Yin & Chu-An Liu & Chang-Ching Lin, 2021.
"Focused Information Criterion and Model Averaging for Large Panels With a Multifactor Error Structure,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 39(1), pages 54-68, January.
See citations under working paper version above.
- Shou-Yung Yin & Chu-An Liu & Chang-Ching Lin, 2016. "Focused Information Criterion and Model Averaging for Large Panels with a Multifactor Error Structure," IEAS Working Paper : academic research 16-A016, Institute of Economics, Academia Sinica, Taipei, Taiwan.
- Zhang, Xinyu & Liu, Chu-An, 2019.
"Inference After Model Averaging In Linear Regression Models,"
Econometric Theory, Cambridge University Press, vol. 35(4), pages 816-841, August.
See citations under working paper version above.
- Xinyu Zhang & Chu-An Liu, 2017. "Inference after Model Averaging in Linear Regression Models," IEAS Working Paper : academic research 17-A005, Institute of Economics, Academia Sinica, Taipei, Taiwan, revised Apr 2018.
- Hsu, Yu-Chin & Liu, Chu-An & Shi, Xiaoxia, 2019.
"Testing Generalized Regression Monotonicity,"
Econometric Theory, Cambridge University Press, vol. 35(6), pages 1146-1200, December.
See citations under working paper version above.
- Yu-Chin Hsu & Chu-An Liu & Xiaoxia Shi, 2016. "Testing Generalized Regression Monotonicity," IEAS Working Paper : academic research 16-A009, Institute of Economics, Academia Sinica, Taipei, Taiwan.
- Liu, Chu-An, 2018.
"Averaging estimators for kernel regressions,"
Economics Letters, Elsevier, vol. 171(C), pages 102-105.
Cited by:
- Shi, Pengfei & Zhang, Xinyu & Zhong, Wei, 2024. "Estimating conditional average treatment effects with heteroscedasticity by model averaging and matching," Economics Letters, Elsevier, vol. 238(C).
- Kotlyarova, Yulia & Schafgans, Marcia M.A. & Zinde-Walsh, Victoria, 2021.
"Rates of expansions for functional estimators,"
LSE Research Online Documents on Economics
113436, London School of Economics and Political Science, LSE Library.
- Yulia Kotlyarova & Marcia M. A. Schafgans & Victoria Zinde-Walsh, 2021. "Rates of Expansions for Functional Estimators," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 19(1), pages 121-139, December.
- Chu‐An Liu & Biing‐Shen Kuo, 2016.
"Model averaging in predictive regressions,"
Econometrics Journal, Royal Economic Society, vol. 19(2), pages 203-231, June.
See citations under working paper version above.
- Liu, Chu-An & Kuo, Biing-Shen, 2014. "Model Averaging in Predictive Regressions," MPRA Paper 54198, University Library of Munich, Germany.
- Liu, Chu-An, 2015.
"Distribution theory of the least squares averaging estimator,"
Journal of Econometrics, Elsevier, vol. 186(1), pages 142-159.
See citations under working paper version above.
- Liu, Chu-An, 2013. "Distribution Theory of the Least Squares Averaging Estimator," MPRA Paper 54201, University Library of Munich, Germany.
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NEP Fields
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 8 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.- NEP-ECM: Econometrics (8) 2012-09-30 2014-03-15 2016-07-23 2017-01-01 2017-04-30 2017-10-08 2021-06-21 2023-02-13. Author is listed
- NEP-ETS: Econometric Time Series (2) 2017-10-08 2023-02-13
- NEP-FOR: Forecasting (1) 2014-03-15
- NEP-ORE: Operations Research (1) 2012-09-30
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