Model averaging in a multiplicative heteroscedastic model

Zhao, SW; Ma, YY; Wan, ATK; Zhang, XY; Wang, SY

Zhang, XY (corresponding author), Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China.

ECONOMETRIC REVIEWS, 2020; 39 (10): 1100

Abstract

In recent years, the body of literature on frequentist model averaging in econometrics has grown significantly. Most of this work focuses on models wi......

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