Model averaging with averaging covariance matrix
文献类型：期刊论文
| 作者 | Zhao, Shangwei1; Zhang, Xinyu2 ; Gao, Yichen3
|
| 刊名 | ECONOMICS LETTERS
 |
| 出版日期 | 2016-08-01 |
| 卷号 | 145页码:214-217 |
| 关键词 | Asymptotic optimality Heteroscedasticity Model averaging |
| ISSN号 | 0165-1765 |
| DOI | 10.1016/j.econlet.2016.06.011 |
| 英文摘要 | This article studies optimal model averaging for linear models with heteroscedasticity. We choose weights by minimizing Mallows-type criterion. Because the covariance matrix of random error in the criterion is unknown, an averaging estimator of covariance matrix is plugged into the criterion. The resulting model averaging estimator is proved to be asymptotically optimal under some regularity conditions. Simulation experiments show that the proposed model averaging method is superior to its competitors. (C) 2016 Elsevier B.V. All rights reserved. |
| 资助项目 | National Natural Science Foundation of China[71522004] ; National Natural Science Foundation of China[11471324] ; National Natural Science Foundation of China[11271355] ; National Natural Science Foundation of China[71501133] ; special talent grant from AMSS, CAS |
| WOS研究方向 | Business & Economics |
| 语种 | 英语 |
| WOS记录号 | WOS:000381834600050 |
| 出版者 | ELSEVIER SCIENCE SA |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/23285]  |
| 专题 | 系统科学研究所 |
| 通讯作者 | Zhang, Xinyu |
| 作者单位 | 1.Minzu Univ China, Coll Sci, Beijing, Peoples R China 2.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100864, Peoples R China 3.Capital Univ Econ & Business, ISEM, Beijing, Peoples R China |
| 推荐引用方式 GB/T 7714 | Zhao, Shangwei,Zhang, Xinyu,Gao, Yichen. Model averaging with averaging covariance matrix[J]. ECONOMICS LETTERS,2016,145:214-217. |
| APA | Zhao, Shangwei,Zhang, Xinyu,&Gao, Yichen.(2016).Model averaging with averaging covariance matrix.ECONOMICS LETTERS,145,214-217. |
| MLA | Zhao, Shangwei,et al."Model averaging with averaging covariance matrix".ECONOMICS LETTERS 145(2016):214-217. |
入库方式： OAI收割
来源：数学与系统科学研究院
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