Model averaging based on leave-subject-out cross-validation - Gao, Yan; Zhang, Xinyu; Wang, Shouyang; Zou, Guohua (Journal of econometrics, 2016)
Keywords: Asymptotic methods; Asymptotic optimality; econometric models; economic analysis; economic theory; Estimating techniques; heteroskedasticity; Leave-subject-out cross-validation; Longitudinal data; Mathematical models; Measurement errors; Model averaging; Simulation; Time series; time series analysis; Validation studies; C52; Model averaging; Time series; Asymptotic optimality; Leave-subject-out cross-validation; Longitudinal data; C51