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

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Title
Model averaging based on leave-subject-out cross-validation
Authors
Keywords
Asymptotic optimality, Leave-subject-out cross-validation, Longitudinal data, Model averaging, Time series
Journal
JOURNAL OF ECONOMETRICS
Volume 192, Issue 1, Pages 139-151
Publisher
Elsevier BV
Online
2015-12-29
DOI
10.1016/j.jeconom.2015.07.006

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