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Cross-validation aggregation for combining autoregressive neural network forecasts

Barrow, Devon K.; Crone, Sven F. - In: International journal of forecasting 32 (2016) 4, pp. 1120-1137

Persistent link: https://www.econbiz.de/10011622112

Variable selection in additive models by nonnegative garrote

Cantoni, Eva (contributor); … - 2006

Persistent link: https://www.econbiz.de/10003335752

Bandwidth selection by cross-validation for forecasting long memory financial time series

Baillie, Richard; Kapetanios, George; Papailias, Fotis - In: Journal of empirical finance 29 (2014), pp. 129-143

Persistent link: https://www.econbiz.de/10011300500

Forecasting with factor-augmented regression : a frequentist model averaging approach

Cheng, Xu; Hansen, Bruce E. - In: Journal of econometrics 186 (2015) 2, pp. 280-293

Persistent link: https://www.econbiz.de/10011349480

A partially linear kernel estimator for categorical data

Gao, Qi; Liu, Long; Racine, Jeffrey - In: Econometric reviews 34 (2015) 6/10, pp. 959-978

Persistent link: https://www.econbiz.de/10011483412

Bayesian bandwidth selection for a nonparametric regression model with mixed types of regressors

Zhang, Xibin; King, Maxwell L.; Shang, Han Lin - In: Econometrics : open access journal 4 (2016) 2, pp. 1-27

This paper develops a sampling algorithm for bandwidth estimation in a nonparametric regression model with continuous and discrete regressors under an unknown error density. The error density is approximated by the kernel density estimator of the unobserved errors, while the regression function...

Persistent link: https://www.econbiz.de/10011506243