Heteroscedasticity‐robust Cp model averaging

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INFERENCE AFTER MODEL AVERAGING IN LINEAR REGRESSION MODELS (2018, unknown): “6 Note that both Lu (2015), and DiTraglia (2016) propose a two-step algorithm to construct the simulation-based confidence intervals since they need to construct a confidence region for the local parameters first.”
Weighted‐Average Least Squares (WALS): A Survey (2016, background): “…(2012) and Zhang et al. (2013b) developed jackknife model-average estimators which are asymptotically optimal under heteroskedastic and serially correlated errors, while Liu and Okui (2013) and Liu et al. (2013) extended the MMA estimator of Hansen (2007) to models with heteroskedastic errors.”
A Mallows-Type Model Averaging Estimator for the Varying-Coefficient Partially Linear Model (2018, unknown): “In the model averaging literature, the true model is commonly assumed to be infinite dimensional (Hansen 2007; Lu and Su 2015).”