Optimal Model Averaging of Mixed-Data Kernel-Weighted Spline Regressions

Jeffrey S. Racine, Qi Li, Dalei Yu & Li Zheng
Model averaging has a rich history dating from its use for combining forecasts from time-series models (Bates and Granger) and presents a compelling alternative to model selection methods. We propose a frequentist model averaging procedure defined over categorical regression splines (Ma, Racine, and Yang) that allows for mixed-data predictors, as well as nonnested and heteroscedastic candidate models. We demonstrate the asymptotic optimality of the proposed model averaging estimator, and develop a post-averaging inference theory for...
1 citation reported since publication in 2022.
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