MARC details
| 000 -LEADER |
|---|
| fixed length control field |
01554nam a22002417a 4500 |
| 003 - CONTROL NUMBER IDENTIFIER |
|---|
| control field |
ZW-GwMSU |
| 005 - DATE AND TIME OF LATEST TRANSACTION |
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| control field |
20240326085146.0 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION |
|---|
| fixed length control field |
240326b |||||||| |||| 00| 0 eng d |
| 022 ## - INTERNATIONAL STANDARD SERIAL NUMBER |
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| International Standard Serial Number |
02664666 |
| 040 ## - CATALOGING SOURCE |
|---|
| Original cataloging agency |
MSU |
| Language of cataloging |
English |
| Transcribing agency |
MSU |
| Description conventions |
rda |
| 050 00 - LIBRARY OF CONGRESS CALL NUMBER |
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| Classification number |
HB139.T52 ECO |
| 100 1# - MAIN ENTRY--PERSONAL NAME |
|---|
| Personal name |
Hansen, Bruce E. |
| Relator term |
author |
| 245 10 - TITLE STATEMENT |
|---|
| Title |
Averaging estimators for regressions with a possible structural break |
| Statement of responsibility, etc. |
created by Bruce E. Hansen |
| 264 1# - PRODUCTION, PUBLICATION, DISTRIBUTION, MANUFACTURE, AND COPYRIGHT NOTICE |
|---|
| Place of production, publication, distribution, manufacture |
Cambridge: |
| Name of producer, publisher, distributor, manufacturer |
Cambridge University Press, |
| Date of production, publication, distribution, manufacture, or copyright notice |
2009. |
| 336 ## - CONTENT TYPE |
|---|
| Source |
rdacontent |
| Content type term |
text |
| Content type code |
txt |
| 337 ## - MEDIA TYPE |
|---|
| Source |
rdamedia |
| Media type term |
unmediated |
| Media type code |
n |
| 338 ## - CARRIER TYPE |
|---|
| Source |
rdacarrier |
| Carrier type term |
volume |
| Carrier type code |
nc |
| 440 ## - SERIES STATEMENT/ADDED ENTRY--TITLE |
|---|
| Title |
Econometric theory |
| Volume/sequential designation |
Volume 25, number 6 |
| 520 3# - SUMMARY, ETC. |
|---|
| Summary, etc. |
This paper investigates selection and averaging of linear regressions with a possible structural break. Our main contribution is the construction of a Mallows criterion for the structural break model. We show that the correct penalty term is nonstandard and depends on unknown parameters, but it can be approximated by an average of limiting cases to yield a feasible penalty with good performance. Following Hansen (2007, Econometrica 75, 1175–1189) we recommend averaging the structural break estimates with the no-break estimates where the weight is selected to minimize the Mallows criterion. This estimator is simple to compute, as the weights are a simple function of the ratio of the penalty to the Andrews SupF test statistic. |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name entry element |
Estimation theory |
| Form subdivision |
Regression analysis |
| General subdivision |
Structural break |
| 856 ## - ELECTRONIC LOCATION AND ACCESS |
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| Uniform Resource Identifier |
https://doi.org/10.1017/S0266466609990235 |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) |
|---|
| Source of classification or shelving scheme |
Library of Congress Classification |
| Koha item type |
Journal Article |