Frequentist model averaging for threshold models

doi:10.1007/s10463-017-0642-9

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	Frequentist model averaging for threshold models
	Gao, Yan 1,2; Zhang, Xinyu2 ; Wang, Shouyang2 ; Chong, Terence Tai-leung 3; Zou, Guohua 4
	2019-04-01
发表期刊	ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS
ISSN	0020-3157
卷号	71 期号:2 页码:275-306
摘要	This paper develops a frequentist model averaging approach for threshold model specifications. The resulting estimator is proved to be asymptotically optimal in the sense of achieving the lowest possible squared errors. In particular, when combining estimators from threshold autoregressive models, this approach is also proved to be asymptotically optimal. Simulation results show that for the situation where the existing model averaging approach is not applicable, our proposed model averaging approach has a good performance; for the other situations, our proposed model averaging approach performs marginally better than other commonly used model selection and model averaging methods. An empirical application of our approach on the US unemployment data is given.
关键词	Asymptotic optimality Generalized cross-validation Model averaging Threshold model
DOI	10.1007/s10463-017-0642-9
语种	英语
资助项目	National Natural Science Foundation of China[11529101] ; National Natural Science Foundation of China[11331011] ; Ministry of Education of China[17YJC910011] ; Ministry of Science and Technology of China[2016YFB0502301]
WOS研究方向	Mathematics
WOS类目	Statistics & Probability
WOS记录号	WOS:000459484800002
出版者	SPRINGER HEIDELBERG
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/32648
专题	系统科学研究所
通讯作者	Zhang, Xinyu
作者单位	1.Minzu Univ China, Dept Stat, Coll Sci, Beijing 100081, Peoples R China 2.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China 3.Chinese Univ Hong Kong, Dept Econ, Shatin, Hong Kong, Peoples R China 4.Capital Normal Univ, Sch Math Sci, Beijing 100048, Peoples R China
推荐引用方式 GB/T 7714	Gao, Yan,Zhang, Xinyu,Wang, Shouyang,et al. Frequentist model averaging for threshold models[J]. ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS,2019,71(2):275-306.
APA	Gao, Yan,Zhang, Xinyu,Wang, Shouyang,Chong, Terence Tai-leung,&Zou, Guohua.(2019).Frequentist model averaging for threshold models.ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS,71(2),275-306.
MLA	Gao, Yan,et al."Frequentist model averaging for threshold models".ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS 71.2(2019):275-306.