Functional data is a common and important type in econometrics and has been easier and easier to collect in the big data era. To improve estimation accuracy and reduce forecast risks with functional data, in this paper, we propose a novel cross-validation model averaging method for generalized...

Functional data is a common and important type in econometrics and has been easier and easier to collect in the big data era. To improve estimation accuracy and reduce forecast risks with functional data, in this paper, we propose a novel cross-validation model averaging method for generalized...

This note is in response to a recent paper by Hansen (2007, Econometrica) who proposed an optimal model average estimator with weights selected by minimizing a Mallows criterion. The main contribution of Hansen's paper is a demonstration that the Mallows criterion is asymptotically equivalent to...