Generalized Least Squares Model Averaging

Q. Liu; R. Okui; A. Yoshimura

doi:10.1080/07474938.2015.1092817

Generalized Least Squares Model Averaging

Q. Liu, R. Okui, A. Yoshimura

Research output: Contribution to Journal › Article › Academic › peer-review

Abstract

In this article, we propose a method of averaging generalized least squares estimators for linear regression models with heteroskedastic errors. The averaging weights are chosen to minimize Mallows’ C

Original language	English
Pages (from-to)	1692-1752
Journal	Econometric Reviews
Volume	35
Issue number	8-10
DOIs	https://doi.org/10.1080/07474938.2015.1092817
Publication status	Published - 2016

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title = "Generalized Least Squares Model Averaging",

abstract = "In this article, we propose a method of averaging generalized least squares estimators for linear regression models with heteroskedastic errors. The averaging weights are chosen to minimize Mallows{\textquoteright} C",

author = "Q. Liu and R. Okui and A. Yoshimura",

year = "2016",

doi = "10.1080/07474938.2015.1092817",

language = "English",

volume = "35",

pages = "1692--1752",

journal = "Econometric Reviews",

issn = "0747-4938",

publisher = "Taylor and Francis Ltd.",

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AU - Okui, R.

AU - Yoshimura, A.

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DO - 10.1080/07474938.2015.1092817

M3 - Article

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VL - 35

SP - 1692

EP - 1752

JO - Econometric Reviews

JF - Econometric Reviews

IS - 8-10

ER -

Generalized Least Squares Model Averaging

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