Model averaging with averaging covariance matrix

doi:10.1016/j.econlet.2016.06.011

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	Model averaging with averaging covariance matrix
	Zhao, Shangwei 1; Zhang, Xinyu2 ; Gao, Yichen 3
	2016-08-01
发表期刊	ECONOMICS LETTERS
ISSN	0165-1765
卷号	145 页码:214-217
摘要	This article studies optimal model averaging for linear models with heteroscedasticity. We choose weights by minimizing Mallows-type criterion. Because the covariance matrix of random error in the criterion is unknown, an averaging estimator of covariance matrix is plugged into the criterion. The resulting model averaging estimator is proved to be asymptotically optimal under some regularity conditions. Simulation experiments show that the proposed model averaging method is superior to its competitors. (C) 2016 Elsevier B.V. All rights reserved.
关键词	Asymptotic optimality Heteroscedasticity Model averaging
DOI	10.1016/j.econlet.2016.06.011
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[11271355] ; National Natural Science Foundation of China[71501133] ; special talent grant from AMSS, CAS
WOS研究方向	Business & Economics
WOS类目	Economics
WOS记录号	WOS:000381834600050
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/23286
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, Beijing, Peoples R China 2.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100864, Peoples R China 3.Capital Univ Econ & Business, ISEM, Beijing, Peoples R China
推荐引用方式 GB/T 7714	Zhao, Shangwei,Zhang, Xinyu,Gao, Yichen. Model averaging with averaging covariance matrix[J]. ECONOMICS LETTERS,2016,145:214-217.
APA	Zhao, Shangwei,Zhang, Xinyu,&Gao, Yichen.(2016).Model averaging with averaging covariance matrix.ECONOMICS LETTERS,145,214-217.
MLA	Zhao, Shangwei,et al."Model averaging with averaging covariance matrix".ECONOMICS LETTERS 145(2016):214-217.