KMS Of Academy of mathematics and systems sciences, CAS
| A semiparametric generalized ridge estimator and link with model averaging | |
Ullah, Arran1; Wan, Alan T. K.2; Wang, Huansha1; Zhang, Xinyu3,4 ; Zou, Guohua5
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| 2017 | |
| Source Publication | ECONOMETRIC REVIEWS
 |
| ISSN | 0747-4938 |
| Volume | 36Issue:1-3Pages:370-384 |
| Abstract | In recent years, the suggestion of combining models as an alternative to selecting a single model from a frequentist prospective has been advanced in a number of studies. In this article, we propose a new semiparametric estimator of regression coefficients, which is in the form of a feasible generalized ridge estimator by Hoerl and Kennard (1970b) but with different biasing factors. We prove that after reparameterization such that the regressors are orthogonal, the generalized ridge estimator is algebraically identical to the model average estimator. Further, the biasing factors that determine the properties of both the generalized ridge and semiparametric estimators are directly linked to the weights used in model averaging. These are interesting results for the interpretations and applications of both semiparametric and ridge estimators. Furthermore, we demonstrate that these estimators based on model averaging weights can have properties superior to the well-known feasible generalized ridge estimator in a large region of the parameter space. Two empirical examples are presented. |
| Keyword | Biasing factors mallows ridge estimator squared error loss weight C13 C14 |
| DOI | 10.1080/07474938.2015.1114564 |
| Language | 英语 |
| Funding Project | General Research Grant from the Hong Kong Research Grants Council[9042086] ; 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[11331011] |
| WOS Research Area | Business & Economics ; Mathematics ; Mathematical Methods In Social Sciences |
| WOS Subject | Economics ; Mathematics, Interdisciplinary Applications ; Social Sciences, Mathematical Methods ; Statistics & Probability |
| WOS ID | WOS:000385938400017 |
| Publisher | TAYLOR & FRANCIS INC |
| Citation statistics | |
| Document Type | 期刊论文 |
| Identifier | http://ir.amss.ac.cn/handle/2S8OKBNM/23872 |
| Collection | 系统科学研究所 |
| Affiliation | 1.Univ Calif Riverside, Dept Econ, Riverside, CA 92521 USA 2.City Univ Hong Kong, Dept Management Sci, Hong Kong, Hong Kong, Peoples R China 3.Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R China 4.Univ Chinese Acad Sci, Sch Econ & Management, Beijing, Peoples R China 5.Capital Normal Univ, Sch Math Sci, Beijing, Peoples R China |
| Recommended Citation GB/T 7714 | Ullah, Arran,Wan, Alan T. K.,Wang, Huansha,et al. A semiparametric generalized ridge estimator and link with model averaging[J]. ECONOMETRIC REVIEWS,2017,36(1-3):370-384. |
| APA | Ullah, Arran,Wan, Alan T. K.,Wang, Huansha,Zhang, Xinyu,&Zou, Guohua.(2017).A semiparametric generalized ridge estimator and link with model averaging.ECONOMETRIC REVIEWS,36(1-3),370-384. |
| MLA | Ullah, Arran,et al."A semiparametric generalized ridge estimator and link with model averaging".ECONOMETRIC REVIEWS 36.1-3(2017):370-384. |
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