14/11/2022
Optimal Model Averaging of Mixed-Data Kernel-Weighted Spline Regressions
IESR Assistant Professor Li Zheng's paper co-authored with Jeffrey S. Racine, Qi Li and Dalei Yu is forthcoming in Journal of Business & Economic Statistics.
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Model averaging has a rich history dating from its use for combining forecasts from time-series models (Bates and Granger) and presents a compelling alternative to model selection methods. We propo...