Dalei Yu, Heng Lian, Yuying Sun, Xinyu Zhang, Yongmiao Hong
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Post-averaging inference for optimal model averaging estimator in generalized linear models
This article considers the problem of post-averaging inference for optimal model averaging estimators in a generalized linear model (GLM). We establish the asymptotic distributions of optimal model...
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.