Optimal Local Model Averaging for Divergent-Dimensional Functional-Coefficient Regressions
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More about this item
Keywords
Asymptotic optimality; Functional-coefficient models; Forward-validation; Model averaging; Varying-weights;All these keywords.
JEL classification:
- C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2023-10-09 (Econometrics)
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