Least squares model averaging by Mallows criterion

doi:10.1016/j.jeconom.2009.10.030

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	Least squares model averaging by Mallows criterion
	Wan, Alan T. K.1; Zhang, Xinyu2 ; Zou, Guohua 2
	2010-06-01
发表期刊	JOURNAL OF ECONOMETRICS
ISSN	0304-4076
卷号	156 期号:2 页码:277-283
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.
关键词	Asymptotic optimality Continuous weights Mallows criterion Non-nested models
DOI	10.1016/j.jeconom.2009.10.030
语种	英语
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
WOS类目	Economics ; Mathematics, Interdisciplinary Applications ; Social Sciences, Mathematical Methods
WOS记录号	WOS:000278655700003
出版者	ELSEVIER SCIENCE SA
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/10427
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.