Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
Final published version
Final published version
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.
Original language | English |
---|---|
Journal | Statistica Sinica |
Volume | 28 |
Issue | 4 |
Pages (from-to) | 2795-2809 |
Number of pages | 15 |
ISSN | 1017-0405 |
DOIs | |
Publication status | Published - 1 Oct 2018 |
See relations at Aarhus University Citationformats
ID: 136789162