- ——— (1991b): “Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation,†Econometrica, 59, 817–858.
Paper not yet in RePEc: Add citation now
- ——— (2007): “Prediction/Estimation with Simple Linear Models: Is it Really that Simple?†Econometric Theory, 23, 1–36.
Paper not yet in RePEc: Add citation now
- ——— (2008): “Least-Squares Forecast Averaging,†Journal of Econometrics, 146, 342–350.
Paper not yet in RePEc: Add citation now
- ——— (2008): “Minimizing Average Risk in Regression Models,†Econometric Theory, 24, 493– 527.
Paper not yet in RePEc: Add citation now
- ——— (2010): “Multi-Step Forecast Model Selection,†Working Paper, University of Wisconsin.
Paper not yet in RePEc: Add citation now
- ——— (2013): “Model Averaging, Asymptotic Risk, and Regressor Groups,†Forthcoming. Quantitative Economics.
Paper not yet in RePEc: Add citation now
Andrews, D. W. K. (1991a): “Asymptotic Optimality of Generalized CL, Cross-Validation, and Generalized Cross-Validation in Regression with Heteroskedastic Errors,†Journal of Econometrics , 47, 359–377.
- Buckland, S., K. Burnham, and N. Augustin (1997): “Model Selection: An Integral Part of Inference,†Biometrics, 53, 603–618.
Paper not yet in RePEc: Add citation now
Cheng, X. and B. E. Hansen (2013): “Forecasting with Factor-Augmented Regression: A Frequentist Model Averaging Approach,†Forthcoming. Journal of Econometrics.
Claeskens, G. and N. L. Hjort (2003): “The Focused Information Criterion,†Journal of the American Statistical Association, 98, 900–916.
Claeskens, G. and R. J. Carroll (2007): “An Asymptotic Theory forModel Selection Inference in General Semiparametric Problems,†Biometrika, 94, 249–265.
Clark, T. and K. West (2007): “Approximately Normal Tests for Equal Predictive Accuracy in Nested Models,†Journal of Econometrics, 138, 291–311.
Clemen, R. (1989): “Combining Forecasts: A Review and Annotated Bibliography,†International Journal of Forecasting, 5, 559–583.
DiTraglia, F. (2013): “Using Invalid Instruments on Purpose: Focused Moment Selection and Averaging for GMM,†Working Paper, University of Pennsylvania.
Elliott, G., A. Gargano, and A. Timmermann (2013): “Complete Subset Regressions,†Journal of Econometrics, 177, 357–373.
- Granger, C. (1989): “Combining Forecasts–Twenty Years Later,†Journal of Forecasting, 8, 167–173.
Paper not yet in RePEc: Add citation now
- Granger, C. and R. Ramanathan (1984): “Improved Methods of Combining Forecasts,†Journal of Forecasting, 3, 197–204.
Paper not yet in RePEc: Add citation now
Hjort, N. L. and G. Claeskens (2003): “Frequentist Model Average Estimators,†Journal of the American Statistical Association, 98, 879–899.
- Ing, C.-K. and C.-Z. Wei (2005): “Order Selection for Same-Realization Predictions in Autoregressive Processes,†The Annals of Statistics, 33, 2423–2474.
Paper not yet in RePEc: Add citation now
Kitagawa, T. and C. Muris (2013): “Covariate Selection and Model Averaging in Semiparametric Estimation of Treatment Effects,†Cemmap Working Paper.
Leeb, H. and B. P¨otscher (2005): “Model Selection and Inference: Facts and Fiction,†Econometric Theory, 21, 21–59.
- Li, K.-C. (1987): “Asymptotic Optimality for Cp, CL, Cross-Validation and Generalized CrossValidation: Discrete Index Set,†The Annals of Statistics, 15, 958–975.
Paper not yet in RePEc: Add citation now
Liu, C.-A. (2013): “Distribution Theory of the Least Squares Averaging Estimator,†Working Paper, National University of Singapore.
Min, C.-K. and A. Zellner (1993): “Bayesian and Non-Bayesian Methods for Combining Models and Forecasts with Applications to Forecasting International Growth Rates,†Journal of Econometrics, 56, 89–118.
Newey, W. and K. West (1987): “A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix,†Econometrica, 55, 703–708.
Ng, S. (2013): “Variable Selection in Predictive Regressions,†in Handbook of Economic Forecasting , ed. by G. Elliott and A. Timmermann, Elsevier, vol. 2, chap. 14, 752–789.
- P¨otscher, B. (2006): “The Distribution of Model Averaging Estimators and an Impossibility Result Regarding its Estimation,†Lecture Notes-Monograph Series, 52, 113–129.
Paper not yet in RePEc: Add citation now
- Raftery, A., D. Madigan, and J. Hoeting (1997): “Bayesian Model Averaging for Linear Regression Models,†Journal of the American Statistical Association, 92, 179–191.
Paper not yet in RePEc: Add citation now
- Rapach, D. and G. Zhou (2012): “Forecasting Stock Returns,†in Handbook of Economic Forecasting , Elsevier, vol. 2.
Paper not yet in RePEc: Add citation now
Rapach, D., J. Strauss, and G. Zhou (2010): “Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy,†Review of Financial Studies, 23, 821– 862.
- Shao, J. (1997): “An Asymptotic Theory for Linear Model Selection,†Statistica Sinica, 7, 221– 242.
Paper not yet in RePEc: Add citation now
- Shibata, R. (1980): “Asymptotically Efficient Selection of the Order of the model for Estimating Parameters of a Linear Process,†The Annals of Statistics, 8, 147–164.
Paper not yet in RePEc: Add citation now
Staiger, D. and J. Stock (1997): “Instrumental Variables Regression with Weak Instruments,†Econometrica, 65, 557–586.
Stock, J. H. and M. W. Watson (2006): “Forecasting with Many Predictors,†in Handbook of Economic Forecasting, ed. by G. Elliott, C. Granger, and A. Timmermann, Elsevier, vol. 1, 515–554.
Sueishi, N. (2013): “Generalized Empirical Likelihood-Based Focused Information Criterion and Model Averaging,†Econometrics, 1, 141–156.
Timmermann, A. (2006): “Forecast Combinations,†in Handbook of Economic Forecasting, ed. by G. Elliott, C. Granger, and A. Timmermann, Elsevier, vol. 1, 135–196.
- Wan, A., X. Zhang, and G. Zou (2010): “Least SquaresModel Averaging byMallows Criterion,†Journal of Econometrics, 156, 277–283.
Paper not yet in RePEc: Add citation now
Welch, I. and A. Goyal (2008): “A Comprehensive Look at the Empirical Performance of Equity Premium Prediction,†Review of Financial Studies, 21, 1455–1508.
White, H. (1980): “A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity,†Econometrica, 48, 817–838.
Yang, Y. (2004): “Combining Forecasting Procedures: Some Theoretical Results,†Econometric Theory, 20, 176–222.
- Zhang, X. and H. Liang (2011): “Focused Information Criterion and Model Averaging for Generalized Additive Partial Linear Models,†The Annals of Statistics, 39, 174–200.
Paper not yet in RePEc: Add citation now
Zhang, X., A. T. Wan, and G. Zou (2013): “Model Averaging by Jackknife Criterion in Models with Dependent Data,†Journal of Econometrics, 174, 82–94.
Zhang, X., A. T. Wan, and S. Z. Zhou (2012): “Focused Information Criteria, Model Selection, and Model Averaging in a Tobit Model with a Nonzero Threshold,†Journal of Business & Economic Statistics, 30, 132–142.
Zou, H. and Y. Yang (2004): “Combining Time Series Models for Forecasting,†International Journal of Forecasting, 20, 69–84.