Optimal model averaging for divergent-dimensional Poisson regressions
文献类型：期刊论文
| 作者 | Zou, Jiahui6; Wang, Wendun4,5; Zhang, Xinyu2,3; Zou, Guohua1 |
| 刊名 | ECONOMETRIC REVIEWS
 |
| 出版日期 | 2022-03-01 |
| 页码 | 31 |
| 关键词 | Asymptotic optimality consistency divergent dimension model averaging Poisson regression |
| ISSN号 | 0747-4938 |
| DOI | 10.1080/07474938.2022.2047508 |
| 英文摘要 | This paper proposes a new model averaging method to address model uncertainty in Poisson regressions, allowing the dimension of covariates to increase with the sample size. We derive an unbiased estimator of the Kullback-Leibler (KL) divergence to choose averaging weights. We show that when all candidate models are misspecified, the proposed estimate is asymptotically optimal by achieving the least KL divergence among all possible averaging estimators. In another situation where correct models exist in the model space, our method can produce consistent coefficient estimates. We apply the proposed techniques to study the determinants and predict corporate innovation outcomes measured by the number of patents. |
| 资助项目 | Young Teacher Foundation from Capital University of Economics and Business[XRZ2022070] ; National Key R&D Program of China[2020AAA0105200] ; National Natural Science Foundation of China[11971323] ; National Natural Science Foundation of China[12031016] ; CAS Project for Young Scientists in Basic Research[YSBR-008] |
| WOS研究方向 | Business & Economics ; Mathematics ; Mathematical Methods In Social Sciences |
| 语种 | 英语 |
| WOS记录号 | WOS:000769361700001 |
| 出版者 | TAYLOR & FRANCIS INC |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/60118]  |
| 专题 | 中国科学院数学与系统科学研究院 |
| 通讯作者 | Wang, Wendun |
| 作者单位 | 1.Capital Normal Univ, Sch Math Sci, Beijing, Peoples R China 2.Beijing Acad Artificial Intelligence, Beijing, Peoples R China 3.Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R China 4.Tinbergen Inst, Amsterdam, Netherlands 5.Erasmus Univ, Econometr Inst, NL-3062 PA Amsterdam, Netherlands 6.Capital Univ Econ & Business, Sch Stat, Beijing, Peoples R China |
| 推荐引用方式 GB/T 7714 | Zou, Jiahui,Wang, Wendun,Zhang, Xinyu,et al. Optimal model averaging for divergent-dimensional Poisson regressions[J]. ECONOMETRIC REVIEWS,2022:31. |
| APA | Zou, Jiahui,Wang, Wendun,Zhang, Xinyu,&Zou, Guohua.(2022).Optimal model averaging for divergent-dimensional Poisson regressions.ECONOMETRIC REVIEWS,31. |
| MLA | Zou, Jiahui,et al."Optimal model averaging for divergent-dimensional Poisson regressions".ECONOMETRIC REVIEWS (2022):31. |
入库方式： OAI收割
来源：数学与系统科学研究院
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