Model averaging by jackknife criterion in models with dependent data

Xinyu Zhang; Alan T. K. Wan; Guohua Zou

doi:10.1016/j.jeconom.2013.01.004

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Model averaging by jackknife criterion in models with dependent data

Xinyu Zhang Alan T. K. Wan Guohua Zou

Year: 2013 Journal: Journal of Econometrics Vol: 174 (2)Pages: 82-94 Publisher: Elsevier BV

DOI: 10.1016/j.jeconom.2013.01.004

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Keywords:

Mathematics Jackknife resampling Heteroscedasticity Estimator Frequentist inference Statistics Monte Carlo method Applied mathematics Econometrics Bayesian inference Bayesian probability

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Monetary Policy and Economic Impact

Social Sciences → Economics, Econometrics and Finance → General Economics, Econometrics and Finance

Statistical Methods and Inference

Physical Sciences → Mathematics → Statistics and Probability

Financial Risk and Volatility Modeling

Social Sciences → Economics, Econometrics and Finance → Finance

Model averaging by jackknife criterion in models with dependent data

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