Published in:McMaster University, Department of Economics Working Paper ; No. 2017-1
Extent:
1 Online-Ressource (30 p)
Language:
English
DOI:
10.2139/ssrn.2905268
Identifier:
Origination:
Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 20, 2017 erstellt
Description:
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 in an appendix