This article studies optimal model averaging for partially linear models with heteroscedasticity. A Mallows-type criterion is proposed to choose the weight. The resulting model averaging estimator is proved to be asymptotically optimal under some regularity conditions. Simulation experiments...

This paper considers linear panel data models with a grouped pattern of heterogeneity when the latent group membership structure and/or the values of slope coefficients change at a break point. We propose a least squares approach to jointly estimate the break point, group membership structure,...