Mallows criterion for heteroskedastic linear regressions with many regressors
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DOI: 10.1016/j.econlet.2021.109864
Abstract: Abstract We present a feasible generalized Mallows criterion for model selection for a linear regression setup with conditional heteroskedasticity and possibly numerous explanatory variables. The feasible version exploits unbiased individual variance estimates from recent literature.… read more here.
Keywords: many regressors; heteroskedastic linear; criterion heteroskedastic; regressions many ... See more keywords