My bibliography
Save this item
A Model-Averaging Approach for High-Dimensional Regression
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
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.
- Steven F. Lehrer & Tian Xie, 2022.
"The Bigger Picture: Combining Econometrics with Analytics Improves Forecasts of Movie Success,"
Management Science, INFORMS, vol. 68(1), pages 189-210, January.
- Steven F. Lehrer & Tian Xie, 2018. "The Bigger Picture: Combining Econometrics with Analytics Improve Forecasts of Movie Success," NBER Working Papers 24755, National Bureau of Economic Research, Inc.
- Steven Lehrer & Tian Xie, 2020. "The Bigger Picture: Combining Econometrics with Analytics Improve Forecasts of Movie Success," Working Paper 1449, Economics Department, Queen's University.
- 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.
- 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).
- 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.
- Jeffrey S. Racine & Qi Li & Dalei Yu & Li Zheng, 2023.
"Optimal Model Averaging of Mixed-Data Kernel-Weighted Spline Regressions,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 41(4), pages 1251-1261, October.
- Jeffrey S. Racine & Qi Li & Li Zheng, 2018. "Optimal Model Averaging of Mixed-Data Kernel-Weighted Spline Regressions," Department of Economics Working Papers 2018-10, McMaster University.
- Zhang, Xinyu & Liu, Chu-An, 2023. "Model averaging prediction by K-fold cross-validation," Journal of Econometrics, Elsevier, vol. 235(1), pages 280-301.
- 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.
- 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.
- Sun, Yuying & Hong, Yongmiao & Wang, Shouyang & Zhang, Xinyu, 2023. "Penalized time-varying model averaging," Journal of Econometrics, Elsevier, vol. 235(2), pages 1355-1377.
- Liao, Jun & Zou, Guohua, 2020. "Corrected Mallows criterion for model averaging," Computational Statistics & Data Analysis, Elsevier, vol. 144(C).
- Yan, Xiaodong & Wang, Hongni & Wang, Wei & Xie, Jinhan & Ren, Yanyan & Wang, Xinjun, 2021. "Optimal model averaging forecasting in high-dimensional survival analysis," International Journal of Forecasting, Elsevier, vol. 37(3), pages 1147-1155.
- 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.
- 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.
- 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.
- 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.
- 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.
- Fang, Fang & Li, Jialiang & Xia, Xiaochao, 2022. "Semiparametric model averaging prediction for dichotomous response," Journal of Econometrics, Elsevier, vol. 229(2), pages 219-245.
- Zhao, Shangwei & Zhou, Jianhong & Li, Hongjun, 2016. "Model averaging with high-dimensional dependent data," Economics Letters, Elsevier, vol. 148(C), pages 68-71.
- Benítez-Peña, Sandra & Carrizosa, Emilio & Guerrero, Vanesa & Jiménez-Gamero, M. Dolores & Martín-Barragán, Belén & Molero-Río, Cristina & Ramírez-Cobo, Pepa & Romero Morales, Dolores & Sillero-Denami, 2021. "On sparse ensemble methods: An application to short-term predictions of the evolution of COVID-19," European Journal of Operational Research, Elsevier, vol. 295(2), pages 648-663.
- 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.
- 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.
- Peng, Jingfu & Yang, Yuhong, 2022. "On improvability of model selection by model averaging," Journal of Econometrics, Elsevier, vol. 229(2), pages 246-262.
- Jia Chen & Degui Li & Oliver Linton & Zudi Lu, 2015.
"Semiparametric model averaging of ultra-high dimensional time series,"
CeMMAP working papers
CWP62/15, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Jia Chen & Degui Li & Oliver Linton & Zudi Lu, 2015. "Semiparametric Model Averaging of Ultra-High Dimensional Time Series," Discussion Papers 15/18, Department of Economics, University of York.
- Jia Chen & Degui Li & Oliver Linton & Zudi Lu, 2015. "Semiparametric model averaging of ultra-high dimensional time series," CeMMAP working papers 62/15, Institute for Fiscal Studies.
- Xianwen Sun & Lixin Zhang, 2024. "Jackknife model averaging for mixed-data kernel-weighted spline quantile regressions," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 87(7), pages 805-842, October.
- Fernandez, Julian, 2020. "Exchange Rate Uncertainty and the Interest Rate Parity," MPRA Paper 116010, University Library of Munich, Germany, revised 2022.
- 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).
- Wenchao Xu & Xinyu Zhang, 2024. "On Asymptotic Optimality of Least Squares Model Averaging When True Model Is Included," Papers 2411.09258, arXiv.org.
- Cong Li & Qi Li & Jeffrey Racine & DAIQIANG ZHANG, 2017. "Optimal Model Averaging Of Varying Coefficient Models," Department of Economics Working Papers 2017-01, McMaster University.
- Linhui Wang & Jianping Zhu & Chenlu Zheng & Zhiyuan Zhang, 2024. "Incorporating Digital Footprints into Credit-Scoring Models through Model Averaging," Mathematics, MDPI, vol. 12(18), pages 1-15, September.
- Seojeong Lee & Youngki Shin, 2021.
"Complete subset averaging with many instruments,"
The Econometrics Journal, Royal Economic Society, vol. 24(2), pages 290-314.
- Seojeong Lee & Youngki Shin, 2018. "Complete Subset Averaging with Many Instruments," Papers 1811.08083, arXiv.org, revised Aug 2020.
- De Gooijer, Jan G. & Zerom, Dawit, 2019. "Semiparametric quantile averaging in the presence of high-dimensional predictors," International Journal of Forecasting, Elsevier, vol. 35(3), pages 891-909.
- Lee, Ji Hyung & Shin, Youngki, 2023.
"Complete Subset Averaging For Quantile Regressions,"
Econometric Theory, Cambridge University Press, vol. 39(1), pages 146-188, February.
- Ji Hyung Lee & Youngki Shin, 2020. "Complete Subset Averaging for Quantile Regressions," Papers 2003.03299, arXiv.org, revised Jul 2021.
- Ji Hyung Lee & Youngki Shin, 2020. "Complete Subset Averaging for Quantile Regressions," Department of Economics Working Papers 2020-03, McMaster University.
- 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.
- Seojeong Lee & Youngki Shin, 2018. "Optimal Estimation with Complete Subsets of Instruments," Department of Economics Working Papers 2018-15, McMaster University.
- Xiaochao Xia, 2021. "Model averaging prediction for nonparametric varying-coefficient models with B-spline smoothing," Statistical Papers, Springer, vol. 62(6), pages 2885-2905, December.
- Yuying Sun & Shaoxin Hong & Zongwu Cai, 2023. "Optimal Local Model Averaging for Divergent-Dimensional Functional-Coefficient Regressions," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202309, University of Kansas, Department of Economics, revised Sep 2023.
- Baihua He & Yanyan Liu & Guosheng Yin & Yuanshan Wu, 2023. "Model aggregation for doubly divided data with large size and large dimension," Computational Statistics, Springer, vol. 38(1), pages 509-529, March.
- Haili Zhang & Guohua Zou, 2020. "Cross-Validation Model Averaging for Generalized Functional Linear Model," Econometrics, MDPI, vol. 8(1), pages 1-35, February.
- Xinyu Zhang & Dalei Yu & Guohua Zou & Hua Liang, 2016. "Optimal Model Averaging Estimation for Generalized Linear Models and Generalized Linear Mixed-Effects Models," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 111(516), pages 1775-1790, October.
- Fang, Fang & Yu, Zhou, 2020. "Model averaging assisted sufficient dimension reduction," Computational Statistics & Data Analysis, Elsevier, vol. 152(C).
- Jing Zhou & Gerda Claeskens & Jelena Bradic, 2020. "Detangling robustness in high dimensions: composite versus model-averaged estimation," Papers 2006.07457, arXiv.org.
- 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.
- Yuan, Chaoxia & Fang, Fang & Ni, Lyu, 2022. "Mallows model averaging with effective model size in fragmentary data prediction," Computational Statistics & Data Analysis, Elsevier, vol. 173(C).
- 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.
- Wei Qian & Craig A. Rolling & Gang Cheng & Yuhong Yang, 2019. "On the Forecast Combination Puzzle," Econometrics, MDPI, vol. 7(3), pages 1-26, September.
- 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.
- Juming Pan, 2018. "Model Averaging for High-Dimensional Linear Models," Biostatistics and Biometrics Open Access Journal, Juniper Publishers Inc., vol. 6(2), pages 46-47, April.
- Haowen Bao & Zongwu Cai & Yuying Sun & Shouyang Wang, 2023. "Penalized Model Averaging for High Dimensional Quantile Regressions," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202302, University of Kansas, Department of Economics, revised Jan 2023.