Jackknife model averaging for quantile regressions

Title
Jackknife model averaging for quantile regressions
Authors
Keywords
Final prediction error, High dimensionality, Model averaging, Model selection, Misspecification, Quantile regression
Journal
JOURNAL OF ECONOMETRICS
Volume 188, Issue 1, Pages 40-58
Publisher
Elsevier BV
Online
2015-04-12
DOI
10.1016/j.jeconom.2014.11.005

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