A NEW STUDY ON ASYMPTOTIC OPTIMALITY OF LEAST SQUARES MODEL AVERAGING

Zhang, XY

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

ECONOMETRIC THEORY, 2021; 37 (2): 388

Abstract

In this article, we present a comprehensive study of asymptotic optimality of least squares model averaging methods. The concept of asymptotic optimal......

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