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On uniform asymptotic risk of averaging GMM estimators
Cheng, Xu; Liao, Zhipeng; Shi, Ruoyao - In: Quantitative Economics 10 (2019) 3, pp. 931-979
This paper studies the averaging GMM estimator that combines a conservative GMM estimator based on valid moment conditions and an aggressive GMM estimator based on both valid and possibly misspecified moment conditions, where the weight is the sample analog of an infeasible optimal weight. We...
Persistent link: https://www.econbiz.de/10012215390
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On uniform asymptotic risk of averaging GMM estimators
Cheng, Xu; Liao, Zhipeng; Shi, Ruoyao - In: Quantitative economics : QE ; journal of the … 10 (2019) 3, pp. 931-979
This paper studies the averaging GMM estimator that combines a conservative GMM estimator based on valid moment conditions and an aggressive GMM estimator based on both valid and possibly misspecified moment conditions, where the weight is the sample analog of an infeasible optimal weight. We...
Persistent link: https://www.econbiz.de/10012049321
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On tuning parameter selection in model selection and model averaging: A Monte Carlo study
Xiao, Hui; Sun, Yiguo - In: Journal of Risk and Financial Management 12 (2019) 3, pp. 1-16
to supplement the literature by studying the class of OLS post-selection estimators. Inspired by the shrinkage averaging … estimator (SAE) and the Mallows model averaging (MMA) estimator, we further propose a shrinkage MMA (SMMA) estimator for …
Persistent link: https://www.econbiz.de/10012611180
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Forecasting the returns of cryptocurrency: A model averaging approach
Xiao, Hui; Sun, Yiguo - In: Journal of Risk and Financial Management 13 (2020) 11, pp. 1-15
estimators to explain the cryptocurrencies' returns. We further introduce a novel model averaging approach or the shrinkage …
Persistent link: https://www.econbiz.de/10012611490
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On the aggregation of probability assessments : regularized mixtures of predictive densities for eurozone inflation and real interest rates
Diebold, Francis X.; Shin, Minchul; Zhang, Boyuan - 2021
Persistent link: https://www.econbiz.de/10013206037
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Forecasting the returns of cryptocurrency : a model averaging approach
Xiao, Hui; Sun, Yiguo - In: Journal of risk and financial management : JRFM 13 (2020) 11/278, pp. 1-15
estimators to explain the cryptocurrencies´ returns. We further introduce a novel model averaging approach or the shrinkage …
Persistent link: https://www.econbiz.de/10012388749
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Stein-like shrinkage estimation of panel data models with common correlated effects
Huang, Bai; Lee, Tae-hwy; Ullah, Aman - 2019
Persistent link: https://www.econbiz.de/10012244158
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On tuning parameter selection in model selection and model averaging : a Monte Carlo study
Xiao, Hui; Sun, Yiguo - In: Journal of risk and financial management : JRFM 12 (2019) 3/109, pp. 1-16
to supplement the literature by studying the class of OLS post-selection estimators. Inspired by the shrinkage averaging … estimator (SAE) and the Mallows model averaging (MMA) estimator, we further propose a shrinkage MMA (SMMA) estimator for …
Persistent link: https://www.econbiz.de/10012025275
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On the aggregation of probability assessments : regularized mixtures of predictive densities for eurozone inflation and real interest rates
Diebold, Francis X.; Shin, Minchul; Zhang, Boyuan - 2021
Persistent link: https://www.econbiz.de/10012431724
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Model averaging with ridge regularization
Skolkova, Alena - 2023
Persistent link: https://www.econbiz.de/10014317815