Jackknife Model Averaging for Quantile Regressions

• Main Authors: LU, Xun, SU, Liangjun
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2014
• Subjects: Final prediction error; High dimensionality; Model averaging; Model selection; Quantile regression; Economics; Econometrics
• Online Access: https://ink.library.smu.edu.sg/soe_research/1594; https://ink.library.smu.edu.sg/context/soe_research/article/2593/viewcontent/11_2014.pdf
• Institution: Singapore Management University

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...