Model averaging based on leave-subject-out cross-validation for vector autoregressions
文献类型：期刊论文
| 作者 | Liao, Jun1; Zong, Xianpeng1; Zhang, Xinyu2 ; Zou, Guohua1
|
| 刊名 | JOURNAL OF ECONOMETRICS
 |
| 出版日期 | 2019-03-01 |
| 卷号 | 209期号:1页码:35-60 |
| 关键词 | Asymptotic optimality Consistency Leave-subject-out cross-validation Model averaging Vector autoregressions |
| ISSN号 | 0304-4076 |
| DOI | 10.1016/j.jeconom.2018.10.007 |
| 英文摘要 | The vector autoregressive (VAR) model is a useful tool for economic evaluation and prediction. This paper develops a leave-subject-out cross-validation model averaging (LsoMA) method to average predictions from VAR models. The approximate unbiasedness of LsoMA and its asymptotic optimality in terms of obtaining the lowest possible quadratic errors are established. The rate of the LsoMA based weights converging to the optimal weights minimizing the expected quadratic errors is also derived. Simulation experiments show that our method is generally more efficient than the other frequently used model selection and averaging methods. Two empirical applications further illustrate that the proposed method is promising. (C) 2018 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[71631008] ; Ministry of Science and Technology of China[2016YFB0502301] |
| WOS研究方向 | Business & Economics ; Mathematics ; Mathematical Methods In Social Sciences |
| 语种 | 英语 |
| WOS记录号 | WOS:000460197300003 |
| 出版者 | ELSEVIER SCIENCE SA |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/34183]  |
| 专题 | 系统科学研究所 |
| 通讯作者 | Zou, Guohua |
| 作者单位 | 1.Capital Normal Univ, Sch Math Sci, Beijing 100048, 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 | Liao, Jun,Zong, Xianpeng,Zhang, Xinyu,et al. Model averaging based on leave-subject-out cross-validation for vector autoregressions[J]. JOURNAL OF ECONOMETRICS,2019,209(1):35-60. |
| APA | Liao, Jun,Zong, Xianpeng,Zhang, Xinyu,&Zou, Guohua.(2019).Model averaging based on leave-subject-out cross-validation for vector autoregressions.JOURNAL OF ECONOMETRICS,209(1),35-60. |
| MLA | Liao, Jun,et al."Model averaging based on leave-subject-out cross-validation for vector autoregressions".JOURNAL OF ECONOMETRICS 209.1(2019):35-60. |
入库方式： OAI收割
来源：数学与系统科学研究院
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