Model averaging based on leave-subject-out cross-validation for vector autoregressions

doi:10.1016/j.jeconom.2018.10.007

CSpace > 系统科学研究所

	Model averaging based on leave-subject-out cross-validation for vector autoregressions
	Liao, Jun 1; Zong, Xianpeng 1; Zhang, Xinyu2 ; Zou, Guohua 1
	2019-03-01
发表期刊	JOURNAL OF ECONOMETRICS
ISSN	0304-4076
卷号	209 期号:1 页码:35-60
摘要	The vector autoregressive (VAR) model is a useful tool for economic evaluation and prediction. This paper develops a leave-subject-out cross-validation model averaging (LsoMA) method to average predictions from VAR models. The approximate unbiasedness of LsoMA and its asymptotic optimality in terms of obtaining the lowest possible quadratic errors are established. The rate of the LsoMA based weights converging to the optimal weights minimizing the expected quadratic errors is also derived. Simulation experiments show that our method is generally more efficient than the other frequently used model selection and averaging methods. Two empirical applications further illustrate that the proposed method is promising. (C) 2018 Elsevier B.V. All rights reserved.
关键词	Asymptotic optimality Consistency Leave-subject-out cross-validation Model averaging Vector autoregressions
DOI	10.1016/j.jeconom.2018.10.007
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[71631008] ; Ministry of Science and Technology of China[2016YFB0502301]
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:000460197300003
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/34184
专题	系统科学研究所
通讯作者	Zou, Guohua
作者单位	1.Capital Normal Univ, Sch Math Sci, Beijing 100048, Peoples R China 2.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China
推荐引用方式 GB/T 7714	Liao, Jun,Zong, Xianpeng,Zhang, Xinyu,et al. Model averaging based on leave-subject-out cross-validation for vector autoregressions[J]. JOURNAL OF ECONOMETRICS,2019,209(1):35-60.
APA	Liao, Jun,Zong, Xianpeng,Zhang, Xinyu,&Zou, Guohua.(2019).Model averaging based on leave-subject-out cross-validation for vector autoregressions.JOURNAL OF ECONOMETRICS,209(1),35-60.
MLA	Liao, Jun,et al."Model averaging based on leave-subject-out cross-validation for vector autoregressions".JOURNAL OF ECONOMETRICS 209.1(2019):35-60.