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1
Stochastic Search Variable Selection in Vector Error Correction Models with an Application to a Model of the UK Macroeconomy
Jochmann, Markus
;
Koop, Gary
;
Leon-Gonzalez, Roberto
; …
-
Economics Department, University of Strathclyde
-
2009
This paper develops methods for Stochastic Search Variable Selection (currently popular with regression and Vector Autoregressive models) for Vector Error Correction models where there are many possible restrictions on the cointegration space. We show how this allows the researcher to begin with...
Persistent link: https://www.econbiz.de/10008629508
Saved in:
2
Multimodel Inference
Burnham, Kenneth P.
;
Anderson, David R.
- In:
Sociological Methods & Research
33
(
2004
)
2
,
pp. 261-304
, a sound criterion based in information
theory
, and a rigorous statistical foundation for AIC. AIC can be justified as …
Persistent link: https://www.econbiz.de/10010789391
Saved in:
3
Parametric and Nonparametric Frequentist Model Selection and Model Averaging
Ullah, Aman
;
Wang, Huansha
- In:
Econometrics
1
(
2013
)
2
,
pp. 157-179
the context of nonparametric models. In applications,
estimation
and inference are often conducted under the selected …
Persistent link: https://www.econbiz.de/10010692421
Saved in:
4
Linear instrumental variables model averaging
estimation
Martins, Luis F.
;
Gabriel, Vasco J.
- In:
Computational Statistics & Data Analysis
71
(
2014
)
C
,
pp. 709-724
estimation
stage is proposed. This is particularly relevant in applications in which there is a large number of candidate …
Persistent link: https://www.econbiz.de/10010719693
Saved in:
5
Focused vector information criterion model selection and model averaging regression with missing response
Sun, Zhimeng
;
Su, Zhi
;
Ma, Jingyi
- In:
Metrika
77
(
2014
)
3
,
pp. 415-432
confidence interval
estimation
method and
estimation
of the mean of the response are also proposed. A simulation study is …
Persistent link: https://www.econbiz.de/10010995127
Saved in:
6
A plug-in averaging estimator for regressions with heteroskedastic errors
LIU, CHU-AN
-
Volkswirtschaftliche Fakultät, …
-
2012
This paper proposes a new model averaging estimator for the linear regression model with heteroskedastic errors. We address the issues of how to optimally assign the weights for candidate models and how to make inference based on the averaging estimator. We derive the asymptotic mean squared...
Persistent link: https://www.econbiz.de/10011109051
Saved in:
7
Distribution
Theory
of the Least Squares Averaging Estimator
Liu, Chu-An
-
Volkswirtschaftliche Fakultät, …
-
2013
This paper derives the limiting distributions of least squares averaging estimators for linear regression models in a local asymptotic framework. We show that the averaging estimators with fixed weights are asymptotically normal and then develop a plug-in averaging estimator that minimizes the...
Persistent link: https://www.econbiz.de/10011114098
Saved in:
8
Model uncertainty and expected return proxies
Jäckel, Christoph
-
Volkswirtschaftliche Fakultät, …
-
2013
Over the last two decades, alternative expected return proxies have been proposed with substantially lower variation than realized returns. This helped to reduce parameter uncertainty and to identify many seemingly robust relations between expected returns and variables of interest, which would...
Persistent link: https://www.econbiz.de/10011114160
Saved in:
9
Stochastic Search Variable Selection in Vector Error Correction Models with an Application to a Model of the UK Macroeconomy
Jochmann, Markus
;
Koop, Gary
;
Leon-Gonzalez
;
Strachan, …
-
Scottish Institute for Research in Economics (SIRE)
-
2009
This paper develops methods for Stochastic Search Variable Selection (currently popular with regression and Vector Autoregressive models) for Vector Error Correction models where there are many possible restrictions on the cointegration space. We show how this allows the researcher to begin with...
Persistent link: https://www.econbiz.de/10010550784
Saved in:
10
What Belongs Where? Variable Selection for Zero-Inflated Count Models with an Application to the Demand for Health Care
Jochmann, Markus
-
Scottish Institute for Research in Economics (SIRE)
-
2009
This paper develops stochastic search variable selection (SSVS) for zero-inflated count models which are commonly used in health economics. This allows for either model averaging or model selection in situations with many potential regressors. The proposed techniques are applied to a data set...
Persistent link: https://www.econbiz.de/10010550824
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