OPTIMAL MODEL AVERAGING OF VARYING COEFFICIENT MODELS

Cong Li, Qi Li, Jeffrey Racine and Daiqiang Zhang

Department of Economics Working Papers from McMaster University

Abstract: 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.

JEL-codes: C14 (search for similar items in EconPapers)
Pages: 30 pages
Date: 2017-01
New Economics Papers: this item is included in nep-ecm and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:mcm:deptwp:2017-01

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