Optimal model averaging for divergent-dimensional Poisson regressions

doi:10.1080/07474938.2022.2047508

CSpace

	Optimal model averaging for divergent-dimensional Poisson regressions
	Zou, Jiahui 1; Wang, Wendun 2,3; Zhang, Xinyu 4,5; Zou, Guohua 6
	2022-03-01
发表期刊	ECONOMETRIC REVIEWS
ISSN	0747-4938
页码	31
摘要	This paper proposes a new model averaging method to address model uncertainty in Poisson regressions, allowing the dimension of covariates to increase with the sample size. We derive an unbiased estimator of the Kullback-Leibler (KL) divergence to choose averaging weights. We show that when all candidate models are misspecified, the proposed estimate is asymptotically optimal by achieving the least KL divergence among all possible averaging estimators. In another situation where correct models exist in the model space, our method can produce consistent coefficient estimates. We apply the proposed techniques to study the determinants and predict corporate innovation outcomes measured by the number of patents.
关键词	Asymptotic optimality consistency divergent dimension model averaging Poisson regression
DOI	10.1080/07474938.2022.2047508
收录类别	SCI
语种	英语
资助项目	Young Teacher Foundation from Capital University of Economics and Business[XRZ2022070] ; National Key R&D Program of China[2020AAA0105200] ; National Natural Science Foundation of China[11971323] ; National Natural Science Foundation of China[12031016] ; CAS Project for Young Scientists in Basic Research[YSBR-008]
WOS研究方向	Business & Economics ; Mathematics ; Mathematical Methods In Social Sciences
WOS类目	Economics ; Mathematics, Interdisciplinary Applications ; Social Sciences, Mathematical Methods ; Statistics & Probability
WOS记录号	WOS:000769361700001
出版者	TAYLOR & FRANCIS INC
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/60119
专题	中国科学院数学与系统科学研究院
通讯作者	Wang, Wendun
作者单位	1.Capital Univ Econ & Business, Sch Stat, Beijing, Peoples R China 2.Erasmus Univ, Econometr Inst, NL-3062 PA Amsterdam, Netherlands 3.Tinbergen Inst, Amsterdam, Netherlands 4.Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R China 5.Beijing Acad Artificial Intelligence, Beijing, Peoples R China 6.Capital Normal Univ, Sch Math Sci, Beijing, Peoples R China
推荐引用方式 GB/T 7714	Zou, Jiahui,Wang, Wendun,Zhang, Xinyu,et al. Optimal model averaging for divergent-dimensional Poisson regressions[J]. ECONOMETRIC REVIEWS,2022:31.
APA	Zou, Jiahui,Wang, Wendun,Zhang, Xinyu,&Zou, Guohua.(2022).Optimal model averaging for divergent-dimensional Poisson regressions.ECONOMETRIC REVIEWS,31.
MLA	Zou, Jiahui,et al."Optimal model averaging for divergent-dimensional Poisson regressions".ECONOMETRIC REVIEWS (2022):31.