Model averaging based on leave-subject-out cross-validation

doi:10.1016/j.jeconom.2015.07.006

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	Model averaging based on leave-subject-out cross-validation
	Gao, Yan 1,2; Zhang, Xinyu2,3 ; Wang, Shouyang2 ; Zou, Guohua 2,4
	2016-05-01
发表期刊	JOURNAL OF ECONOMETRICS
ISSN	0304-4076
卷号	192 期号:1 页码:139-151
摘要	This paper develops a frequentist model averaging method based on the leave-subject-out cross validation. This method is applicable not only to averaging longitudinal data models, but also to averaging time series models which can have heteroscedastic errors. The resulting model averaging estimators are proved to be asymptotically optimal in the sense of achieving the lowest possible squared errors. Both simulation study and empirical example show the superiority of the proposed estimators over their competitors. (C) 2015 Elsevier B.V. All rights reserved.
关键词	Asymptotic optimality Leave-subject-out cross-validation Longitudinal data Model averaging Time series
DOI	10.1016/j.jeconom.2015.07.006
语种	英语
资助项目	National Natural Science Foundation of China[71522004] ; National Natural Science Foundation of China[11471324] ; National Natural Science Foundation of China[11331011] ; National Natural Science Foundation of China[11271355] ; AMSS, CAS ; Beijing High-level Talents Program
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:000372384900009
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/22359
专题	系统科学研究所
通讯作者	Zhang, Xinyu
作者单位	1.Minzu Univ China, Coll Sci, Dept Stat, Beijing 100081, Peoples R China 2.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China 3.Capital Univ Econ & Business, ISEM, Beijing 100070, Peoples R China 4.Capital Normal Univ, Sch Math Sci, Beijing 100037, Peoples R China
推荐引用方式 GB/T 7714	Gao, Yan,Zhang, Xinyu,Wang, Shouyang,et al. Model averaging based on leave-subject-out cross-validation[J]. JOURNAL OF ECONOMETRICS,2016,192(1):139-151.
APA	Gao, Yan,Zhang, Xinyu,Wang, Shouyang,&Zou, Guohua.(2016).Model averaging based on leave-subject-out cross-validation.JOURNAL OF ECONOMETRICS,192(1),139-151.
MLA	Gao, Yan,et al."Model averaging based on leave-subject-out cross-validation".JOURNAL OF ECONOMETRICS 192.1(2016):139-151.