Journal article
Multiple regression model averaging and the focused information criterion with an application to portfolio choice
- Abstract:
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We consider multiple regression (MR) model averaging using the Focused Informati on Criterion (FIC). Our approach is motivated by the problem of implementing a mean-variance portfolio choice rule. The usual approach is to estimate parameters ignoring the intention to use them in portfolio choice. We develop an estimation method that focuses on the trading rule of interest. Asymptotic distributions of submodel estimators in the MR case are derived using a localization framework. The localizati...
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- Publication status:
- Published
- Peer review status:
- Peer reviewed
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Access Document
- Files:
-
-
(Accepted manuscript, pdf, 837.4KB)
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- Publisher copy:
- 10.1080/07350015.2017.1383262
Authors
Bibliographic Details
- Publisher:
- Taylor and Francis Publisher's website
- Journal:
- Journal of Business and Economic Statistics Journal website
- Volume:
- 37
- Issue:
- 3
- Pages:
- 506-516
- Publication date:
- 2018-05-22
- Acceptance date:
- 2017-09-14
- DOI:
- EISSN:
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1537-2707
- ISSN:
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0735-0015
Item Description
- Pubs id:
-
pubs:735420
- UUID:
-
uuid:cb866848-c750-48ea-9ed4-c51ab87f63af
- Local pid:
- pubs:735420
- Source identifiers:
-
735420
- Deposit date:
- 2017-10-13
Terms of use
- Copyright holder:
- American Statistical Association
- Copyright date:
- 2018
- Notes:
- Copyright © 2017 American Statistical Association. This is the accepted manuscript version of the article. The final version is available online from Taylor & Francis at: https://doi.org/10.1080/07350015.2017.1383262
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