Generalized Least Squares Model Averaging

Q. Liu, R. Okui, A. Yoshimura

    Research output: Contribution to JournalArticleAcademicpeer-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 languageEnglish
    Pages (from-to)1692-1752
    JournalEconometric Reviews
    Volume35
    Issue number8-10
    DOIs
    Publication statusPublished - 2016

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