OPTIMAL MODEL AVERAGING OF VARYING COEFFICIENT MODELS
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© Institute of Statistical Science. All rights reserved. We consider the problem of model averaging over a set of semiparametric varying coefficient models where the varying coefficients can be functions of continuous and categorical variables. We propose a Mallows model averaging procedure that is capable of delivering model averaging estimators with solid finite-sample performance. Theoretical underpinnings are provided, finite-sample performance is assessed via Monte Carlo simulation, and an illustrative application is presented. The approach is very simple to implement in practice and R code is provided as supplementary material.
author list (cited authors)
Li, C., Li, Q. i., RACINE, J., & ZHANG, D
complete list of authors
Li, Cong||Li, Qi||RACINE, JEFFREY||ZHANG, DAIQIANG