Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 5, 2015 erstellt
Description:
This article studies optimal model averaging for partially linear models with heteroscedasticity. A Mallows-type criterion is proposed to choose the weight. The resulting model averaging estimator is proved to be asymptotically optimal under some regularity conditions. Simulation experiments show that the proposed model averaging method is superior to commonly-used model selection and averaging methods. The proposed procedure is further applied to study Japan's sovereign credit default swap spreads