KMS Of Academy of mathematics and systems sciences, CAS
| OPTIMAL MODEL AVERAGING BASED ON GENERALIZED METHOD OF MOMENTS | |
| Zhang, Xinyu | |
| 2021-10-01 | |
| Source Publication | STATISTICA SINICA
 |
| ISSN | 1017-0405 |
| Volume | 31Issue:4Pages:2103-2122 |
| Abstract | We propose a model averaging method that combines estimators from the generalized method of moments (GMM). Unlike other GMM-based model averaging procedures, this method allows all candidate models to be misspecified (not locally misspecified). We prove that when all candidate models are misspecified, the proposed method is optimal in the sense of minimizing the estimation loss; when there exists at least one correctly specified model, the method can achieve the common root-n convergence rate. Simulation experiments and an application to a housing market show the superiority of our method over other methods. |
| Keyword | Asymptotic optimality consistency generalized method of moments model averaging |
| DOI | 10.5705/ss.202019.0230 |
| Indexed By | SCI |
| Language | 英语 |
| Funding Project | National Natural Science Foundation of China[71925007] ; National Natural Science Foundation of China[72091212] ; National Natural Science Foundation of China[71988101] ; National Natural Science Foundation of China[11688101] ; Youth Innovation Promotion Association of Chinese Academy of Sciences ; Beijing Academy of Artificial Intelligence ; joint grant from the Academy for Multidisciplinary Studies, Capital Normal University |
| WOS Research Area | Mathematics |
| WOS Subject | Statistics & Probability |
| WOS ID | WOS:000760868800020 |
| Publisher | STATISTICA SINICA |
| Citation statistics | |
| Document Type | 期刊论文 |
| Identifier | http://ir.amss.ac.cn/handle/2S8OKBNM/60039 |
| Collection | 中国科学院数学与系统科学研究院 |
| Corresponding Author | Zhang, Xinyu |
| Affiliation | Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China |
| Recommended Citation GB/T 7714 | Zhang, Xinyu. OPTIMAL MODEL AVERAGING BASED ON GENERALIZED METHOD OF MOMENTS[J]. STATISTICA SINICA,2021,31(4):2103-2122. |
| APA | Zhang, Xinyu.(2021).OPTIMAL MODEL AVERAGING BASED ON GENERALIZED METHOD OF MOMENTS.STATISTICA SINICA,31(4),2103-2122. |
| MLA | Zhang, Xinyu."OPTIMAL MODEL AVERAGING BASED ON GENERALIZED METHOD OF MOMENTS".STATISTICA SINICA 31.4(2021):2103-2122. |
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