KMS Of Academy of mathematics and systems sciences, CAS
| Time-varying model averaging? | |
| Sun, Yuying1,2,3; Hong, Yongmiao4,5,6; Lee, Tae-Hwy7; Wang, Shouyang1,2,3; Zhang, Xinyu1,2 | |
| 2021-06-01 | |
| Source Publication | JOURNAL OF ECONOMETRICS
 |
| ISSN | 0304-4076 |
| Volume | 222Issue:2Pages:974-992 |
| Abstract | Structural 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. |
| Keyword | Asymptotic optimality Forecast combination Local stationarity Model averaging Structural change Time-varying model averaging |
| DOI | 10.1016/j.jeconom.2020.02.006 |
| Indexed By | SCI |
| Language | 英语 |
| Funding Project | National 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 Area | Business & Economics ; Mathematics ; Mathematical Methods In Social Sciences |
| WOS Subject | Economics ; Mathematics, Interdisciplinary Applications ; Social Sciences, Mathematical Methods |
| WOS ID | WOS:000640913400006 |
| Publisher | ELSEVIER SCIENCE SA |
| Citation statistics | |
| Document Type | 期刊论文 |
| Identifier | http://ir.amss.ac.cn/handle/2S8OKBNM/58470 |
| Collection | 中国科学院数学与系统科学研究院 |
| Corresponding Author | Zhang, Xinyu |
| Affiliation | 1.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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