Optimal model averaging of varying coefficient models

Cong Li (School of Economics, Shanghai University of Finance and Economics, Shanghai, PR China Key Laboratory of Mathematical Economics (SUFE), Ministry of Education, Shanghai, PR China), Qi Li (ISEM, Capital University of Economics and Business, Beijing, PR China; Department of Economics, Texas A&M University, College Station, USA), Jeffrey S. Racine (Department of Economics and Graduate Program in Statistics, McMaster University; Department of Economics and Finance, La Trobe University; Info-Metrics Institute, American University; Rimini Center for Economic Analysis; Center for Research in Econometric Analysis of TimE Series (CREATES), Aarhus University), Daiqiang Zhang (Department of Economics, Texas A&M University, College Station, USA)