Optimal critical values of pre-tests when estimating the regression error variance : analytical findings under a general loss structure

von Wan, Alan T. K.
Veröffentlicht in Journal of econometrics (2003)

Adaptively combined forecasting for discrete response time series

von Zhang, Xinyu
Veröffentlicht in Journal of econometrics (2013)

Bayesian inference of a dynamic linear model with Edgeworth series disturbances

von Chaturvedi, Anoop
Veröffentlicht in Handbook of applied econometrics and statistical inference (2002)

Model averaging by jackknife criterion in models with dependent data

von Zhang, Xinyu
Veröffentlicht in Journal of econometrics (2013)

Model averaging based on leave-subject-out cross-validation

von Gao, Yan
Veröffentlicht in Journal of econometrics (2016)

Least squares model averaging by Mallows criterion

von Wan, Alan T. K.
Veröffentlicht in Journal of econometrics (2010)

Model averaging prediction for time series models with a diverging number of parameters

von Liao, Jun
Veröffentlicht in Journal of econometrics (2021)

Model averaging based on leave-subject-out cross-validation for vector autoregressions

von Liao, Jun
Veröffentlicht in Journal of econometrics (2019)

On the sensitivity of the restricted least squares estimators to covariance misspecification

von Wan, Alan T. K.
Veröffentlicht in The econometrics journal (2007)

Further results on optimal critical values of pre-test when estimating the regression error variance

von Wan, Alan T. K.
Veröffentlicht in The econometrics journal (2006)

The power of autocorrelation tests near the unit root in models with possibly mis-specified linear restrictions

von Wan, Alan T. K.
Veröffentlicht in Economics letters (2007)

The limiting power of autocorrelation tests in regression models with linear restrictions

von Wan, Alan T. K.
Veröffentlicht 2004

A semiparametric generalized ridge estimator and link with model averaging

von Ullah, Aman
Veröffentlicht in Econometric reviews (2017)

Reducing simulation input-model risk via input model averaging

von Nelson, Barry L.
Veröffentlicht in Institute for Operations Research and the Management Sciences INFORMS journal on computing (2021)