Weighted-Average Least Squares Prediction
文献类型：期刊论文
| 作者 | Magnus, Jan R.1; Wang, Wendun2; Zhang, Xinyu3,4
|
| 刊名 | ECONOMETRIC REVIEWS
 |
| 出版日期 | 2016-07-02 |
| 卷号 | 35期号:6页码:1040-1074 |
| 关键词 | Bayesian analysis Model averaging Model uncertainty Prediction C11 C52 C53 |
| ISSN号 | 0747-4938 |
| DOI | 10.1080/07474938.2014.977065 |
| 英文摘要 | Prediction under model uncertainty is an important and difficult issue. Traditional prediction methods (such as pretesting) are based on model selection followed by prediction in the selected model, but the reported prediction and the reported prediction variance ignore the uncertainty from the selection procedure. This article proposes a weighted-average least squares (WALS) prediction procedure that is not conditional on the selected model. Taking both model and error uncertainty into account, we also propose an appropriate estimate of the variance of the WALS predictor. Correlations among the random errors are explicitly allowed. Compared to other prediction averaging methods, the WALS predictor has important advantages both theoretically and computationally. Simulation studies show that the WALS predictor generally produces lower mean squared prediction errors than its competitors, and that the proposed estimator for the prediction variance performs particularly well when model uncertainty increases. |
| 资助项目 | National Natural Science Foundation of China[71101141] ; National Natural Science Foundation of China[11271355] ; National Natural Science Foundation of China[11471324] |
| WOS研究方向 | Business & Economics ; Mathematics ; Mathematical Methods In Social Sciences |
| 语种 | 英语 |
| WOS记录号 | WOS:000372583700005 |
| 出版者 | TAYLOR & FRANCIS INC |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/22407]  |
| 专题 | 系统科学研究所 |
| 通讯作者 | Magnus, Jan R. |
| 作者单位 | 1.Vrije Univ Amsterdam, Dept Econometr & Operat Res, Boelelaan 1105, NL-1081 HV Amsterdam, Netherlands 2.Erasmus Univ, Inst Econometr, POB 1738, NL-3000 DR Rotterdam, Netherlands 3.Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R China 4.Capital Univ Econ & Business, Int Sch Econ & Management, Beijing, Peoples R China |
| 推荐引用方式 GB/T 7714 | Magnus, Jan R.,Wang, Wendun,Zhang, Xinyu. Weighted-Average Least Squares Prediction[J]. ECONOMETRIC REVIEWS,2016,35(6):1040-1074. |
| APA | Magnus, Jan R.,Wang, Wendun,&Zhang, Xinyu.(2016).Weighted-Average Least Squares Prediction.ECONOMETRIC REVIEWS,35(6),1040-1074. |
| MLA | Magnus, Jan R.,et al."Weighted-Average Least Squares Prediction".ECONOMETRIC REVIEWS 35.6(2016):1040-1074. |
入库方式： OAI收割
来源：数学与系统科学研究院
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