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Optimal model averaging for divergent-dimensional Poisson regressions
Zou, Jiahui1; Wang, Wendun2,3; Zhang, Xinyu4,5; Zou, Guohua6
2022-03-01
Source PublicationECONOMETRIC REVIEWS
ISSN0747-4938
Pages31
AbstractThis 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.
KeywordAsymptotic optimality consistency divergent dimension model averaging Poisson regression
DOI10.1080/07474938.2022.2047508
Indexed BySCI
Language英语
Funding ProjectYoung 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 Research AreaBusiness & Economics ; Mathematics ; Mathematical Methods In Social Sciences
WOS SubjectEconomics ; Mathematics, Interdisciplinary Applications ; Social Sciences, Mathematical Methods ; Statistics & Probability
WOS IDWOS:000769361700001
PublisherTAYLOR & FRANCIS INC
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Document Type期刊论文
Identifierhttp://ir.amss.ac.cn/handle/2S8OKBNM/60119
Collection中国科学院数学与系统科学研究院
Corresponding AuthorWang, Wendun
Affiliation1.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
Recommended Citation
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.
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