A model averaging approach for the ordered probit and nested logit models with applications
文献类型：期刊论文
| 作者 | Chen, Longmei1; Wan, Alan T. K.1; Tso, Geoffrey1; Zhang, Xinyu2
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| 刊名 | JOURNAL OF APPLIED STATISTICS
 |
| 出版日期 | 2018 |
| 卷号 | 45期号:16页码:3012-3052 |
| 关键词 | Hit rate model averaging model selection Monte Carlo nested logit ordered probit screening |
| ISSN号 | 0266-4763 |
| DOI | 10.1080/02664763.2018.1450367 |
| 英文摘要 | This paper considers model averaging for the ordered probit and nested logit models, which are widely used in empirical research. Within the frameworks of these models, we examine a range of model averaging methods, including the jackknife method, which is proved to have an optimal asymptotic property in this paper. We conduct a large-scale simulation study to examine the behaviour of these model averaging estimators in finite samples, and draw comparisons with model selection estimators. Our results show that while neither averaging nor selection is a consistently better strategy, model selection results in the poorest estimates far more frequently than averaging, and more often than not, averaging yields superior estimates. Among the averaging methods considered, the one based on a smoothed version of the Bayesian Information criterion frequently produces the most accurate estimates. In three real data applications, we demonstrate the usefulness of model averaging in mitigating problems associated with the replication crisis' that commonly arises with model selection. |
| 资助项目 | City University of Hong Kong[7004985] ; National Science Foundation of China[71522004] ; National Science Foundation of China[71463012] ; National Science Foundation of China[71631008] ; National Science Foundation of China[11471324] ; Ministry of Education of China[17YJC910011] |
| WOS研究方向 | Mathematics |
| 语种 | 英语 |
| WOS记录号 | WOS:000446217300008 |
| 出版者 | TAYLOR & FRANCIS LTD |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/31409]  |
| 专题 | 系统科学研究所 |
| 通讯作者 | Wan, Alan T. K. |
| 作者单位 | 1.City Univ Hong Kong, Dept Management Sci, Kowloon, Hong Kong, Peoples R China 2.Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R China |
| 推荐引用方式 GB/T 7714 | Chen, Longmei,Wan, Alan T. K.,Tso, Geoffrey,et al. A model averaging approach for the ordered probit and nested logit models with applications[J]. JOURNAL OF APPLIED STATISTICS,2018,45(16):3012-3052. |
| APA | Chen, Longmei,Wan, Alan T. K.,Tso, Geoffrey,&Zhang, Xinyu.(2018).A model averaging approach for the ordered probit and nested logit models with applications.JOURNAL OF APPLIED STATISTICS,45(16),3012-3052. |
| MLA | Chen, Longmei,et al."A model averaging approach for the ordered probit and nested logit models with applications".JOURNAL OF APPLIED STATISTICS 45.16(2018):3012-3052. |
入库方式： OAI收割
来源：数学与系统科学研究院
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