scholarly journals Model averaging, asymptotic risk, and regressor groups

10.3982/qe332 ◽  
2014 ◽  
Vol 5 (3) ◽  
pp. 495-530 ◽  
Author(s):  
Bruce E. Hansen
Keyword(s):  
Model Averaging ◽  
Asymptotic Risk

Comparing the predictive ability of Mallows model averaging and pre-test estimators

2011 ◽  
Author(s):  
Yip Chee Yin ◽  
Lim Hock Eam ◽  
Hong Pei Yee
Keyword(s):  
Model Averaging ◽  
Predictive Ability ◽  
Mallows Model

Selecting Predictors by Using Bayesian Model Averaging in Bridge Models

2012 ◽  
Author(s):  
Lorenzo Bencivelli ◽  
Massimiliano Giuseppe Marcellino ◽  
Gianluca Moretti
Keyword(s):  
Bayesian Model ◽  
Bayesian Model Averaging ◽  
Model Averaging ◽  
Bridge Models

Forecasting Interconnections in International Housing Markets: Evidence from the Dynamic Model Averaging Approach

2020 ◽  
Vol 42 (1) ◽  
pp. 37-103
Author(s):  
Hardik A. Marfatia
Keyword(s):  
Dynamic Model ◽  
Model Averaging ◽  
Housing Markets ◽  
The United States ◽  
Forecasting Model ◽  
Change Over Time ◽  
The United Kingdom ◽  
Novel Approach ◽  
Dynamic Model Averaging ◽  
Over Time

In this paper, I undertake a novel approach to uncover the forecasting interconnections in the international housing markets. Using a dynamic model averaging framework that allows both the coefficients and the entire forecasting model to dynamically change over time, I uncover the intertwined forecasting relationships in 23 leading international housing markets. The evidence suggests significant forecasting interconnections in these markets. However, no country holds a constant forecasting advantage, including the United States and the United Kingdom, although the U.S. housing market's predictive power has increased over time. Evidence also suggests that allowing the forecasting model to change is more important than allowing the coefficients to change over time.

Model averaging by jackknife criterion for varying-coefficient partially linear models

2019 ◽  
Vol 49 (11) ◽  
pp. 2671-2689
Author(s):  
Guozhi Hu ◽  
Weihu Cheng ◽  
Jie Zeng
Keyword(s):  
Linear Models ◽  
Model Averaging ◽  
Partially Linear Models ◽  
Varying Coefficient ◽  
Partially Linear

scholarly journals Nonlinear predictive model selection and model averaging using information criteria

2018 ◽  
Vol 6 (1) ◽  
pp. 319-328 ◽  
Author(s):  
Yuanlin Gu ◽  
Hua-Liang Wei ◽  
Michael M. Balikhin
Keyword(s):  
Model Selection ◽  
Predictive Model ◽  
Model Averaging ◽  
Information Criteria
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