Penalized time-varying model averaging
Year of publication: |
2023
|
---|---|
Authors: | Sun, Yuying ; Hong, Yongmiao ; Wang, Shouyang ; Zhang, Xinyu |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 235.2023, 2, p. 1355-1377
|
Subject: | Asymptotic normality | LASSO | Model averaging | Sparsity | Time-varying weights | Modellierung | Scientific modelling | Schätzung | Estimation | Bayes-Statistik | Bayesian inference | Regressionsanalyse | Regression analysis | Schätztheorie | Estimation theory |
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