117 citations · 191 across the 25 of their papers we have counts for
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econ.EM2019
Mean-shift least squares model averaging
Kenichiro McAlinn, Kosaku Takanashi
This paper proposes a new estimator for selecting weights to average over least squares estimates obtained from a set of models. Our proposed estimator builds on the Mallows model…
math.ST2019
Equivariant online predictions of non-stationary time series
Kōsaku Takanashi, Kenichiro McAlinn
We discuss the finite sample theoretical properties of online predictions in non-stationary time series under model misspecification. To analyze the theoretical predictive properti…