Weighted average least squares estimation with nonspherical disturbances and an application to the Hong Kong housing market

doi:10.1016/j.csda.2010.09.023

CSpace > 系统科学研究所

	Weighted average least squares estimation with nonspherical disturbances and an application to the Hong Kong housing market
	Magnus, Jan R.2; Wan, Alan T. K.1; Zhang, Xinyu3
	2011-03-01
发表期刊	COMPUTATIONAL STATISTICS & DATA ANALYSIS
ISSN	0167-9473
卷号	55 期号:3 页码:1331-1341
摘要	The recently proposed weighted average least squares (WALS) estimator is a Bayesian combination of frequentist estimators It has been shown that the WALS estimator possesses major advantages over standard Bayesian model averaging (BMA) estimators the WALS estimator has bounded risk allows a coherent treatment of ignorance and its computational effort is negligible However the sampling properties of the WALS estimator as compared to BMA estimators are heretofore unexamined The WALS theory is further extended to allow for nonspherical disturbances and the estimator is illustrated with data from the Hong Kong real estate market Monte Carlo evidence shows that the WALS estimator performs significantly better than standard BMA and pretest alternatives (C) 2010 Elsevier B V All rights reserved
关键词	Model averaging Bayesian analysis Monte Carlo Housing demand
DOI	10.1016/j.csda.2010.09.023
语种	英语
资助项目	Hong Kong Research Grants Council[City-U 102709]
WOS研究方向	Computer Science ; Mathematics
WOS类目	Computer Science, Interdisciplinary Applications ; Statistics & Probability
WOS记录号	WOS:000285663400013
出版者	ELSEVIER SCIENCE BV
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/11682
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.Tilburg Univ, Dept Econometr & Operat Res, Tilburg, Netherlands 3.Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R China
推荐引用方式 GB/T 7714	Magnus, Jan R.,Wan, Alan T. K.,Zhang, Xinyu. Weighted average least squares estimation with nonspherical disturbances and an application to the Hong Kong housing market[J]. COMPUTATIONAL STATISTICS & DATA ANALYSIS,2011,55(3):1331-1341.
APA	Magnus, Jan R.,Wan, Alan T. K.,&Zhang, Xinyu.(2011).Weighted average least squares estimation with nonspherical disturbances and an application to the Hong Kong housing market.COMPUTATIONAL STATISTICS & DATA ANALYSIS,55(3),1331-1341.
MLA	Magnus, Jan R.,et al."Weighted average least squares estimation with nonspherical disturbances and an application to the Hong Kong housing market".COMPUTATIONAL STATISTICS & DATA ANALYSIS 55.3(2011):1331-1341.