Search Results - subject:"Model screening"

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Weighing asset pricing factors : a least squares model averaging approach

Qiu, Yue; Ren, Yu; Xie, Tian - In: Quantitative finance 19 (2019) 10, pp. 1673-1687

Persistent link: https://www.econbiz.de/10012194816

Heteroscedasticity-robust model screening : a useful toolkit for model averaging in big data analytics

Xie, Tian - In: Economics letters 151 (2017), pp. 119-122

Persistent link: https://www.econbiz.de/10011742147

Frequentist model averaging for multinomial and ordered logit models

Wan, Alan T. K.; Zhang, Xinyu; Wang, Shouyang - In: International journal of forecasting 30 (2013) 1, pp. 118-128

Persistent link: https://www.econbiz.de/10010247003

Linear instrumental variables model averaging estimation

Martins, Luis F.; Gabriel, Vasco J. - In: Computational Statistics & Data Analysis 71 (2014) C, pp. 709-724

Model averaging (MA) estimators in the linear instrumental variables regression framework are considered. The obtaining of weights for averaging across individual estimates by direct smoothing of selection criteria arising from the estimation stage is proposed. This is particularly relevant in...

Persistent link: https://www.econbiz.de/10010719693

Frequentist model averaging for multinomial and ordered logit models

Wan, Alan T.K.; Zhang, Xinyu; Wang, Shouyang - In: International Journal of Forecasting 30 (2014) 1, pp. 118-128

to illustrate the proposed method. To reduce the computational burden, we also consider a model screening step that …

Persistent link: https://www.econbiz.de/10010730019

Adaptively combined forecasting for discrete response time series

Zhang, Xinyu; Lu, Zudi; Zou, Guohua - In: Journal of Econometrics 176 (2013) 1, pp. 80-91

proposed forecasting method in the presence of model screening that is often useful in applications. Our simulation study and …

Persistent link: https://www.econbiz.de/10010679103