Jackknife Model Averaging for Quantile Regressions

Jackknife Model Averaging for Quantile Regressions

In this paper, we consider the problem of frequentist model averaging for quantile regression (QR) when all the M models under investigation are potentially misspecified and the number of parameters in some or all models is diverging with the sample size n. To allow for the dependence between the er...

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書目詳細資料
Main Authors:	LU, Xun, SU, Liangjun
格式:	text
語言:	English
出版:	Institutional Knowledge at Singapore Management University 2014
主題:	Final prediction error High dimensionality Model averaging Model selection Quantile regression Economics Econometrics
在線閱讀:	https://ink.library.smu.edu.sg/soe_research/1594 https://ink.library.smu.edu.sg/context/soe_research/article/2593/viewcontent/11_2014.pdf
標簽:	添加標簽沒有標簽, 成為第一個標記此記錄!
機構:	Singapore Management University
語言:	English

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