OPTIMAL MODEL AVERAGING OF VARYING COEFFICIENT MODELS Academic Article uri icon

abstract

  • © 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.

published proceedings

  • Statistica Sinica

author list (cited authors)

  • Li, C., Li, Q. i., RACINE, J., & ZHANG, D

citation count

  • 3

complete list of authors

  • Li, Cong||Li, Qi||RACINE, JEFFREY||ZHANG, DAIQIANG

publication date

  • January 2019