Weighted-Average Least Squares Prediction

doi:10.1080/07474938.2014.977065

CSpace > 系统科学研究所

	Weighted-Average Least Squares Prediction
	Magnus, Jan R.1; Wang, Wendun 2; Zhang, Xinyu3,4
	2016-07-02
发表期刊	ECONOMETRIC REVIEWS
ISSN	0747-4938
卷号	35 期号:6 页码:1040-1074
摘要	Prediction under model uncertainty is an important and difficult issue. Traditional prediction methods (such as pretesting) are based on model selection followed by prediction in the selected model, but the reported prediction and the reported prediction variance ignore the uncertainty from the selection procedure. This article proposes a weighted-average least squares (WALS) prediction procedure that is not conditional on the selected model. Taking both model and error uncertainty into account, we also propose an appropriate estimate of the variance of the WALS predictor. Correlations among the random errors are explicitly allowed. Compared to other prediction averaging methods, the WALS predictor has important advantages both theoretically and computationally. Simulation studies show that the WALS predictor generally produces lower mean squared prediction errors than its competitors, and that the proposed estimator for the prediction variance performs particularly well when model uncertainty increases.
关键词	Bayesian analysis Model averaging Model uncertainty Prediction C11 C52 C53
DOI	10.1080/07474938.2014.977065
语种	英语
资助项目	National Natural Science Foundation of China[71101141] ; National Natural Science Foundation of China[11271355] ; National Natural Science Foundation of China[11471324]
WOS研究方向	Business & Economics ; Mathematics ; Mathematical Methods In Social Sciences
WOS类目	Economics ; Mathematics, Interdisciplinary Applications ; Social Sciences, Mathematical Methods ; Statistics & Probability
WOS记录号	WOS:000372583700005
出版者	TAYLOR & FRANCIS INC
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/22408
专题	系统科学研究所
通讯作者	Magnus, Jan R.
作者单位	1.Vrije Univ Amsterdam, Dept Econometr & Operat Res, Boelelaan 1105, NL-1081 HV Amsterdam, Netherlands 2.Erasmus Univ, Inst Econometr, POB 1738, NL-3000 DR Rotterdam, Netherlands 3.Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R China 4.Capital Univ Econ & Business, Int Sch Econ & Management, Beijing, Peoples R China
推荐引用方式 GB/T 7714	Magnus, Jan R.,Wang, Wendun,Zhang, Xinyu. Weighted-Average Least Squares Prediction[J]. ECONOMETRIC REVIEWS,2016,35(6):1040-1074.
APA	Magnus, Jan R.,Wang, Wendun,&Zhang, Xinyu.(2016).Weighted-Average Least Squares Prediction.ECONOMETRIC REVIEWS,35(6),1040-1074.
MLA	Magnus, Jan R.,et al."Weighted-Average Least Squares Prediction".ECONOMETRIC REVIEWS 35.6(2016):1040-1074.