Least squares model averaging by Mallows criterion
文献类型：期刊论文
| 作者 | Wan, Alan T. K.1; Zhang, Xinyu2 ; Zou, Guohua2
|
| 刊名 | JOURNAL OF ECONOMETRICS
 |
| 出版日期 | 2010-06-01 |
| 卷号 | 156期号:2页码:277-283 |
| 关键词 | Asymptotic optimality Continuous weights Mallows criterion Non-nested models |
| ISSN号 | 0304-4076 |
| DOI | 10.1016/j.jeconom.2009.10.030 |
| 英文摘要 | This paper is in response to a recent paper by Hansen (2007) who proposed an optimal model average estimator with weights selected by minimizing a Mallows criterion. The main contribution of Hansen's paper is a demonstration that the Mallows criterion is asymptotically equivalent to the squared error, so the model average estimator that minimizes the Mallows criterion also minimizes the squared error in large samples. We are concerned with two assumptions that accompany Hansen's approach. The first is the assumption that the approximating models are strictly nested in a way that depends on the ordering of regressors. Often there is no clear basis for the ordering and the approach does not permit non-nested models which are more realistic from a practical viewpoint. Second, for the optimality result to hold the model weights are required to lie within a special discrete set. In fact, Hansen noted both difficulties and called for extensions of the proof techniques. We provide an alternative proof which shows that the result on the optimality of the Mallows criterion in fact holds for continuous model weights and under a non-nested set-up that allows any linear combination of regressors in the approximating models that make up the model average estimator. These results provide a stronger theoretical basis for the use of the Mallows criterion in model averaging by strengthening existing findings. (C) 2009 Elsevier B.V. All rights reserved. |
| 资助项目 | Hong Kong Research Grant Council[CityU-102709] ; National Natural Science Foundation of China[70625004] ; National Natural Science Foundation of China[70221001] ; National Natural Science Foundation of China[10721101] |
| WOS研究方向 | Business & Economics ; Mathematics ; Mathematical Methods In Social Sciences |
| 语种 | 英语 |
| WOS记录号 | WOS:000278655700003 |
| 出版者 | ELSEVIER SCIENCE SA |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/10426]  |
| 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 100190, Peoples R China |
| 推荐引用方式 GB/T 7714 | Wan, Alan T. K.,Zhang, Xinyu,Zou, Guohua. Least squares model averaging by Mallows criterion[J]. JOURNAL OF ECONOMETRICS,2010,156(2):277-283. |
| APA | Wan, Alan T. K.,Zhang, Xinyu,&Zou, Guohua.(2010).Least squares model averaging by Mallows criterion.JOURNAL OF ECONOMETRICS,156(2),277-283. |
| MLA | Wan, Alan T. K.,et al."Least squares model averaging by Mallows criterion".JOURNAL OF ECONOMETRICS 156.2(2010):277-283. |
入库方式： OAI收割
来源：数学与系统科学研究院
浏览0
下载0
收藏0
其他版本
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。