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Model averaging by jackknife criterion in models with dependent data

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  1. 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.
  2. Tu, Yundong & Yi, Yanping, 2017. "Forecasting cointegrated nonstationary time series with time-varying variance," Journal of Econometrics, Elsevier, vol. 196(1), pages 83-98.
  3. Guozhi Hu & Weihu Cheng & Jie Zeng, 2023. "Optimal Model Averaging for Semiparametric Partially Linear Models with Censored Data," Mathematics, MDPI, vol. 11(3), pages 1-21, February.
  4. Wan, Alan T.K. & Zhang, Xinyu & Wang, Shouyang, 2014. "Frequentist model averaging for multinomial and ordered logit models," International Journal of Forecasting, Elsevier, vol. 30(1), pages 118-128.
  5. Jingwen Tu & Hu Yang & Chaohui Guo & Jing Lv, 2021. "Model averaging marginal regression for high dimensional conditional quantile prediction," Statistical Papers, Springer, vol. 62(6), pages 2661-2689, December.
  6. Zhang, Xinyu & Liu, Chu-An, 2023. "Model averaging prediction by K-fold cross-validation," Journal of Econometrics, Elsevier, vol. 235(1), pages 280-301.
  7. 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).
  8. Chen, Yi-Ting & Liu, Chu-An, 2023. "Model averaging for asymptotically optimal combined forecasts," Journal of Econometrics, Elsevier, vol. 235(2), pages 592-607.
  9. Steven Lehrer & Tian Xie, 2017. "Box Office Buzz: Does Social Media Data Steal the Show from Model Uncertainty When Forecasting for Hollywood?," The Review of Economics and Statistics, MIT Press, vol. 99(5), pages 749-755, December.
  10. Zhao, Shangwei & Zhou, Jianhong & Li, Hongjun, 2016. "Model averaging with high-dimensional dependent data," Economics Letters, Elsevier, vol. 148(C), pages 68-71.
  11. Liu, Chu-An & Tao, Jing, 2016. "Model selection and model averaging in nonparametric instrumental variables models," MPRA Paper 69492, University Library of Munich, Germany.
  12. Yundong Tu & Siwei Wang, 2023. "Variable Screening and Model Averaging for Expectile Regressions," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 85(3), pages 574-598, June.
  13. 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.
  14. Aman Ullah & Alan T. K. Wan & Huansha Wang & Xinyu Zhang & Guohua Zou, 2017. "A semiparametric generalized ridge estimator and link with model averaging," Econometric Reviews, Taylor & Francis Journals, vol. 36(1-3), pages 370-384, March.
  15. Zhao, Shangwei & Xie, Tian & Ai, Xin & Yang, Guangren & Zhang, Xinyu, 2023. "Correcting sample selection bias with model averaging for consumer demand forecasting," Economic Modelling, Elsevier, vol. 123(C).
  16. Zhao, Shangwei & Zhang, Xinyu & Gao, Yichen, 2016. "Model averaging with averaging covariance matrix," Economics Letters, Elsevier, vol. 145(C), pages 214-217.
  17. 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.
  18. Tu, Yundong & Wang, Siwei, 2020. "Jackknife model averaging for expectile regressions in increasing dimension," Economics Letters, Elsevier, vol. 197(C).
  19. Haili Zhang & Guohua Zou, 2020. "Cross-Validation Model Averaging for Generalized Functional Linear Model," Econometrics, MDPI, vol. 8(1), pages 1-35, February.
  20. Yuting Wei & Qihua Wang & Wei Liu, 2021. "Model averaging for linear models with responses missing at random," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 73(3), pages 535-553, June.
  21. Yin-Wong Cheung & Wenhao Wang, 2020. "A Jackknife Model Averaging Analysis of RMB Misalignment Estimates," Journal of International Commerce, Economics and Policy (JICEP), World Scientific Publishing Co. Pte. Ltd., vol. 11(02), pages 1-45, June.
  22. Kenichiro McAlinn & Kosaku Takanashi, 2019. "Mean-shift least squares model averaging," Papers 1912.01194, arXiv.org.
  23. Chu‐An Liu & Biing‐Shen Kuo, 2016. "Model averaging in predictive regressions," Econometrics Journal, Royal Economic Society, vol. 19(2), pages 203-231, June.
  24. Cheng, Tzu-Chang F. & Ing, Ching-Kang & Yu, Shu-Hui, 2015. "Toward optimal model averaging in regression models with time series errors," Journal of Econometrics, Elsevier, vol. 189(2), pages 321-334.
  25. Liao, Jun & Wan, Alan T.K. & He, Shuyuan & Zou, Guohua, 2022. "Optimal model averaging for multivariate regression models," Journal of Multivariate Analysis, Elsevier, vol. 189(C).
  26. 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.
  27. Lu, Xun & Su, Liangjun, 2015. "Jackknife model averaging for quantile regressions," Journal of Econometrics, Elsevier, vol. 188(1), pages 40-58.
  28. Tian Xie, 2019. "Forecast Bitcoin Volatility with Least Squares Model Averaging," Econometrics, MDPI, vol. 7(3), pages 1-20, September.
  29. Yan Gao & Xinyu Zhang & Shouyang Wang & Terence Tai-leung Chong & Guohua Zou, 2019. "Frequentist model averaging for threshold models," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 71(2), pages 275-306, April.
  30. 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.
  31. Wei, Yuting & Wang, Qihua, 2021. "Cross-validation-based model averaging in linear models with response missing at random," Statistics & Probability Letters, Elsevier, vol. 171(C).
  32. Hongwei Zhang & Qiang He & Ben Jacobsen & Fuwei Jiang, 2020. "Forecasting stock returns with model uncertainty and parameter instability," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(5), pages 629-644, August.
  33. Zhang, Xinyu & Yu, Jihai, 2018. "Spatial weights matrix selection and model averaging for spatial autoregressive models," Journal of Econometrics, Elsevier, vol. 203(1), pages 1-18.
  34. Rongjie Jiang & Liming Wang & Yang Bai, 2021. "Optimal model averaging estimator for semi-functional partially linear models," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 84(2), pages 167-194, February.
  35. 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.
  36. Shangwei Zhao & Jun Liao & Dalei Yu, 2020. "Model averaging estimator in ridge regression and its large sample properties," Statistical Papers, Springer, vol. 61(4), pages 1719-1739, August.
  37. 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.
  38. Liao, Jun & Zou, Guohua, 2020. "Corrected Mallows criterion for model averaging," Computational Statistics & Data Analysis, Elsevier, vol. 144(C).
  39. Lehrer, Steven & Xie, Tian & Zhang, Xinyu, 2021. "Social media sentiment, model uncertainty, and volatility forecasting," Economic Modelling, Elsevier, vol. 102(C).
  40. Zhao, Shangwei & Zhou, Jianhong & Yang, Guangren, 2019. "Averaging estimators for discrete choice by M-fold cross-validation," Economics Letters, Elsevier, vol. 174(C), pages 65-69.
  41. Liao, Jun & Zong, Xianpeng & Zhang, Xinyu & Zou, Guohua, 2019. "Model averaging based on leave-subject-out cross-validation for vector autoregressions," Journal of Econometrics, Elsevier, vol. 209(1), pages 35-60.
  42. Barry L. Nelson & Alan T. K. Wan & Guohua Zou & Xinyu Zhang & Xi Jiang, 2021. "Reducing Simulation Input-Model Risk via Input Model Averaging," INFORMS Journal on Computing, INFORMS, vol. 33(2), pages 672-684, May.
  43. Qingfeng Liu & Andrey L. Vasnev, 2019. "A Combination Method for Averaging OLS and GLS Estimators," Econometrics, MDPI, vol. 7(3), pages 1-12, September.
  44. Jie Zeng & Weihu Cheng & Guozhi Hu, 2023. "Optimal Model Averaging Estimation for the Varying-Coefficient Partially Linear Models with Missing Responses," Mathematics, MDPI, vol. 11(8), pages 1-21, April.
  45. Wenchao Xu & Xinyu Zhang, 2024. "On Asymptotic Optimality of Least Squares Model Averaging When True Model Is Included," Papers 2411.09258, arXiv.org.
  46. Liu, Chu-An, 2015. "Distribution theory of the least squares averaging estimator," Journal of Econometrics, Elsevier, vol. 186(1), pages 142-159.
  47. Anthoulla Phella, 2020. "Forecasting With Factor-Augmented Quantile Autoregressions: A Model Averaging Approach," Papers 2010.12263, arXiv.org.
  48. Guo, Chaohui & Lv, Jing & Wu, Jibo, 2021. "Composite quantile regression for ultra-high dimensional semiparametric model averaging," Computational Statistics & Data Analysis, Elsevier, vol. 160(C).
  49. Greenaway-McGrevy, Ryan, 2022. "Forecast combination for VARs in large N and T panels," International Journal of Forecasting, Elsevier, vol. 38(1), pages 142-164.
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