Model averaging for generalized linear models in diverging model spaces with effective model size

IF 0.8 4区经济学 Q3 ECONOMICS

Econometric Reviews Pub Date : 2023-11-29 DOI:10.1080/07474938.2023.2280825

Chaoxia Yuan, Fang Fang, Jialiang Li

引用次数: 0

Abstract

While plenty of frequentist model averaging methods have been proposed, existing weight selection criteria for generalized linear models (GLM) are usually based on a model size penalized Kullback-L...

查看原文本刊更多论文

具有有效模型尺寸的发散模型空间中广义线性模型的模型平均

虽然已经提出了大量的频率模型平均方法，但现有的广义线性模型(GLM)的权值选择标准通常是基于受Kullback-L惩罚的模型大小。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

求助全文

约1分钟内获得全文求助全文

来源期刊

Econometric Reviews 管理科学-数学跨学科应用

CiteScore

1.70

自引率

0.00%

发文量

审稿时长

>12 weeks

期刊介绍： Econometric Reviews is widely regarded as one of the top 5 core journals in econometrics. It probes the limits of econometric knowledge, featuring regular, state-of-the-art single blind refereed articles and book reviews. ER has been consistently the leader and innovator in its acclaimed retrospective and critical surveys and interchanges on current or developing topics. Special issues of the journal are developed by a world-renowned editorial board. These bring together leading experts from econometrics and beyond. Reviews of books and software are also within the scope of the journal. Its content is expressly intended to reach beyond econometrics and advanced empirical economics, to statistics and other social sciences.