Time-varying model averaging?
Sun, Yuying1,2,3; Hong, Yongmiao4,5,6; Lee, Tae-Hwy7; Wang, Shouyang1,2,3; Zhang, Xinyu1,2
AbstractStructural changes often occur in economics and finance due to changes in preferences, technologies, institutional arrangements, policies, crises, etc. Improving forecast accuracy of economic time series with structural changes is a long-standing problem. Model averaging aims at providing an insurance against selecting a poor forecast model. All existing model averaging approaches in the literature are designed with constant (non-time-varying) combination weights. Little attention has been paid to time-varying model averaging, which is more realistic in economics under structural changes. This paper proposes a novel model averaging estimator which selects optimal time-varying combination weights by minimizing a local jackknife criterion. It is shown that the proposed time-varying jackknife model averaging (TVJMA) estimator is asymptotically optimal in the sense of achieving the lowest possible local squared error loss in a class of time-varying model averaging estimators. Under a set of regularity assumptions, the (TVJMA) estimator is root Th-consistent. A simulation study and an empirical application highlight the merits of the proposed TVJMA estimator relative to a variety of popular estimators with constant model averaging weights and model selection. (C) 2020 Elsevier B.V. All rights reserved.
KeywordAsymptotic optimality Forecast combination Local stationarity Model averaging Structural change Time-varying model averaging
Indexed BySCI
Funding ProjectNational Natural Science Foundation of China (NNSFC) Grant[71703156] ; National Natural Science Foundation of China (NNSFC) Grant[71973116] ; Fujian Provincial Key Laboratory of Statistics, Xiamen University[201601] ; NNSFC Grant[71988101] ; NNSFC Grant[71925007] ; NNSFC Grant[11688101] ; Youth Innovation Promotion Association of the Chinese Academy of Sciences ; Beijing Academy of Artificial Intelligence ; Academy for Multidisciplinary Studies, Capital Normal University
WOS Research AreaBusiness & Economics ; Mathematics ; Mathematical Methods In Social Sciences
WOS SubjectEconomics ; Mathematics, Interdisciplinary Applications ; Social Sciences, Mathematical Methods
WOS IDWOS:000640913400006
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Document Type期刊论文
Corresponding AuthorZhang, Xinyu
Affiliation1.Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R China
2.Chinese Acad Sci, Ctr Forecasting Sci, Beijing, Peoples R China
3.Univ Chinese Acad Sci, Sch Econ & Management, Beijing, Peoples R China
4.Cornell Univ, Dept Econ, Ithaca, NY 14853 USA
5.Cornell Univ, Dept Stat & Data Sci, Ithaca, NY 14853 USA
6.Xiamen Univ, MOE Key Lab Econometr, Xiamen, Peoples R China
7.Univ Calif Riverside, Dept Econ, Riverside, CA 92521 USA
Recommended Citation
GB/T 7714
Sun, Yuying,Hong, Yongmiao,Lee, Tae-Hwy,et al. Time-varying model averaging?[J]. JOURNAL OF ECONOMETRICS,2021,222(2):974-992.
APA Sun, Yuying,Hong, Yongmiao,Lee, Tae-Hwy,Wang, Shouyang,&Zhang, Xinyu.(2021).Time-varying model averaging?.JOURNAL OF ECONOMETRICS,222(2),974-992.
MLA Sun, Yuying,et al."Time-varying model averaging?".JOURNAL OF ECONOMETRICS 222.2(2021):974-992.
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