2026-03-10T15:29:01Z https://barrel.repo.nii.ac.jp/oai

oai:barrel.repo.nii.ac.jp:00003612 2025-02-17T07:18:28Z 145 1:477

Generalized Cp Model Averaging for Heteroskedastic Models Liu, Qingfeng 7676 331.19 経済学 Model Averaging Model Selection Asymptotic Optimality Mallows’ Cp Heteroskedastic error This paper proposes a model averaging method, the generalized Mallows’ Cp (GC) method, which works well for heteroskedastic models. Under some regularity conditions, we provide a feasible form of the GC method and show that the GC method has asymptotic optimality not only as a model averaging method but also as a model selection method for heteroskedastic models. We perform some Monte Carlo studies to investigate the small sample properties of the GC method. The simulation results show that our method works well and performs better than alternative methods. technical report 小樽商科大学ビジネス創造センター 2011-04-20 VoR application/pdf Discussion paper series 139 1 20 https://barrel.repo.nii.ac.jp/record/3612/files/DP_139.pdf http://hdl.handle.net/10252/4544 https://barrel.repo.nii.ac.jp/records/3612 eng