Model averaging in a multiplicative heteroscedastic model
文献类型：期刊论文
| 作者 | Zhao, Shangwei4; Ma, Yanyuan1; Wan, Alan T. K.3; Zhang, Xinyu2; Wang, Shouyang2 |
| 刊名 | ECONOMETRIC REVIEWS
 |
| 出版日期 | 2020-06-03 |
| 页码 | 25 |
| 关键词 | Heteroscedasticity-robust model averaging multiplicative heteroscedasticity plug-in squared prediction risk |
| ISSN号 | 0747-4938 |
| DOI | 10.1080/07474938.2020.1770995 |
| 英文摘要 | In recent years, the body of literature on frequentist model averaging in econometrics has grown significantly. Most of this work focuses on models with different mean structures but leaves out the variance consideration. In this article, we consider a regression model with multiplicative heteroscedasticity and develop a model averaging method that combines maximum likelihood estimators of unknown parameters in both the mean and variance functions of the model. Our weight choice criterion is based on a minimization of a plug-in estimator of the model average estimator's squared prediction risk. We prove that the new estimator possesses an asymptotic optimality property. Our investigation of finite-sample performance by simulations demonstrates that the new estimator frequently exhibits very favorable properties compared with some existing heteroscedasticity-robust model average estimators. The model averaging method hedges against the selection of very bad models and serves as a remedy to variance function mis-specification, which often discourages practitioners from modeling heteroscedasticity altogether. The proposed model average estimator is applied to the analysis of two data sets on housing and economic growth. |
| 资助项目 | National Natural Science Foundation of China[71925007] ; National Natural Science Foundation of China[71631008] ; National Natural Science Foundation of China[11871294] ; City University of Hong Kong[7004985] ; Ministry of Education in China[17YJC910011] |
| WOS研究方向 | Business & Economics ; Mathematics ; Mathematical Methods In Social Sciences |
| 语种 | 英语 |
| WOS记录号 | WOS:000542771200001 |
| 出版者 | TAYLOR & FRANCIS INC |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/51696]  |
| 专题 | 中国科学院数学与系统科学研究院 |
| 通讯作者 | Zhang, Xinyu |
| 作者单位 | 1.Penn State Univ, Dept Stat, University Pk, PA 16802 USA 2.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China 3.City Univ Hong Kong, Dept Management Sci, Hong Kong, Peoples R China 4.Minzu Univ China, Sch Sci, Beijing, Peoples R China |
| 推荐引用方式 GB/T 7714 | Zhao, Shangwei,Ma, Yanyuan,Wan, Alan T. K.,et al. Model averaging in a multiplicative heteroscedastic model[J]. ECONOMETRIC REVIEWS,2020:25. |
| APA | Zhao, Shangwei,Ma, Yanyuan,Wan, Alan T. K.,Zhang, Xinyu,&Wang, Shouyang.(2020).Model averaging in a multiplicative heteroscedastic model.ECONOMETRIC REVIEWS,25. |
| MLA | Zhao, Shangwei,et al."Model averaging in a multiplicative heteroscedastic model".ECONOMETRIC REVIEWS (2020):25. |
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。