Semiparametric model average prediction in panel dataanalysis

doi:10.1080/10485252.2017.1404061

CORC > 上海财经大学 > 上海财经大学

	Semiparametric model average prediction in panel dataanalysis
	Huang, Tao 1; Li, Jialiang 2
刊名	JOURNAL OF NONPARAMETRIC STATISTICS
	2018
卷号	30 期号:1 页码:125-144
关键词	Model average panel data covariance function semiparametric estimation prediction error
ISSN号	1048-5252
DOI	10.1080/10485252.2017.1404061
英文摘要	Forecasting in economic data analysis is dominated by linear prediction methods where the predicted values are calculated from a fitted linear regression model. With multiple predictor variables, multivariate nonparametric models were proposed in the literature. However, empirical studies indicate the prediction performance of multi-dimensional nonparametric models may be unsatisfactory. We propose a new semiparametric model average prediction (SMAP) approach to analyse panel data and investigate its prediction performance with numerical examples. Estimation of individual covariate effect only requires univariate smoothing and thus may be more stable than previous multivariate smoothing approaches. The estimation of optimal weight parameters incorporates the longitudinal correlation and the asymptotic properties of the estimated results are carefully studied in this paper.
WOS研究方向	Mathematics
语种	英语
出版者	TAYLOR & FRANCIS LTD
WOS记录号	WOS:000423769400005
内容类型	期刊论文
源URL	[http://10.2.47.112/handle/2XS4QKH4/808]
专题	上海财经大学
通讯作者	Li, Jialiang
作者单位	1.Shanghai Univ Finance & Econ, Sch Stat & Management, Shanghai, Peoples R China; 2.Natl Univ Singapore, Singapore Eye Res Inst, Duke NUS Grad Med Sch, Dept Stat & Appl Probabil, Singapore, Singapore
推荐引用方式 GB/T 7714	Huang, Tao,Li, Jialiang. Semiparametric model average prediction in panel dataanalysis[J]. JOURNAL OF NONPARAMETRIC STATISTICS,2018,30(1):125-144.
APA	Huang, Tao,&Li, Jialiang.(2018).Semiparametric model average prediction in panel dataanalysis.JOURNAL OF NONPARAMETRIC STATISTICS,30(1),125-144.
MLA	Huang, Tao,et al."Semiparametric model average prediction in panel dataanalysis".JOURNAL OF NONPARAMETRIC STATISTICS 30.1(2018):125-144.