A semiparametric generalized ridge estimator and link with model averaging

doi:10.1080/07474938.2015.1114564

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	A semiparametric generalized ridge estimator and link with model averaging
	Ullah, Arran 1; Wan, Alan T. K.2; Wang, Huansha 1; Zhang, Xinyu3,4 ; Zou, Guohua 5
刊名	ECONOMETRIC REVIEWS
	2017
卷号	36 期号:1-3 页码:370-384
关键词	Biasing factors mallows ridge estimator squared error loss weight C13 C14
ISSN号	0747-4938
DOI	10.1080/07474938.2015.1114564
英文摘要	In recent years, the suggestion of combining models as an alternative to selecting a single model from a frequentist prospective has been advanced in a number of studies. In this article, we propose a new semiparametric estimator of regression coefficients, which is in the form of a feasible generalized ridge estimator by Hoerl and Kennard (1970b) but with different biasing factors. We prove that after reparameterization such that the regressors are orthogonal, the generalized ridge estimator is algebraically identical to the model average estimator. Further, the biasing factors that determine the properties of both the generalized ridge and semiparametric estimators are directly linked to the weights used in model averaging. These are interesting results for the interpretations and applications of both semiparametric and ridge estimators. Furthermore, we demonstrate that these estimators based on model averaging weights can have properties superior to the well-known feasible generalized ridge estimator in a large region of the parameter space. Two empirical examples are presented.
资助项目	General Research Grant from the Hong Kong Research Grants Council[9042086] ; National Natural Science Foundation of China[71522004] ; National Natural Science Foundation of China[11471324] ; National Natural Science Foundation of China[11271355] ; National Natural Science Foundation of China[11331011]
WOS研究方向	Business & Economics ; Mathematics ; Mathematical Methods In Social Sciences
语种	英语
出版者	TAYLOR & FRANCIS INC
WOS记录号	WOS:000385938400017
内容类型	期刊论文
源URL	[http://ir.amss.ac.cn/handle/2S8OKBNM/23871]
专题	系统科学研究所
通讯作者	Ullah, Arran
作者单位	1.Univ Calif Riverside, Dept Econ, Riverside, CA 92521 USA 2.City Univ Hong Kong, Dept Management Sci, Hong Kong, Hong Kong, Peoples R China 3.Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R China 4.Univ Chinese Acad Sci, Sch Econ & Management, Beijing, Peoples R China 5.Capital Normal Univ, Sch Math Sci, Beijing, Peoples R China
推荐引用方式 GB/T 7714	Ullah, Arran,Wan, Alan T. K.,Wang, Huansha,et al. A semiparametric generalized ridge estimator and link with model averaging[J]. ECONOMETRIC REVIEWS,2017,36(1-3):370-384.
APA	Ullah, Arran,Wan, Alan T. K.,Wang, Huansha,Zhang, Xinyu,&Zou, Guohua.(2017).A semiparametric generalized ridge estimator and link with model averaging.ECONOMETRIC REVIEWS,36(1-3),370-384.
MLA	Ullah, Arran,et al."A semiparametric generalized ridge estimator and link with model averaging".ECONOMETRIC REVIEWS 36.1-3(2017):370-384.