Generalized Least Squares Model Averaging

Distribution theory of the least squares averaging estimator

(2015) Chu-An Liu   JOURNAL OF ECONOMETRICS

Heteroscedasticity-robustCpmodel averaging

(2013) Qingfeng Liu et al.   Econometrics Journal

Model averaging by jackknife criterion in models with dependent data

(2013) Xinyu Zhang et al.   JOURNAL OF ECONOMETRICS

Focused Information Criteria, Model Selection, and Model Averaging in a Tobit Model With a Nonzero Threshold

(2011) Xinyu Zhang et al.   JOURNAL OF BUSINESS & ECONOMIC STATISTICS

Jackknife model averaging

(2011) Bruce E. Hansen et al.   JOURNAL OF ECONOMETRICS

Optimal Weight Choice for Frequentist Model Average Estimators

(2011) Hua Liang et al.   JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION

Weighted average least squares estimation with nonspherical disturbances and an application to the Hong Kong housing market

(2010) Jan R. Magnus et al.   COMPUTATIONAL STATISTICS & DATA ANALYSIS

Constructing Optimal Instruments by First-Stage Prediction Averaging

(2010)   ECONOMETRICA

Least squares model averaging by Mallows criterion

(2009) Alan T.K. Wan et al.   JOURNAL OF ECONOMETRICS

A comparison of two model averaging techniques with an application to growth empirics

(2009) Jan R. Magnus et al.   JOURNAL OF ECONOMETRICS

Least-squares forecast averaging

(2008) Bruce E. Hansen   JOURNAL OF ECONOMETRICS