Model averaging in a multiplicative heteroscedastic model

doi:10.1080/07474938.2020.1770995

	Model averaging in a multiplicative heteroscedastic model
	Zhao, Shangwei 3; Ma, Yanyuan 4; Wan, Alan T. K.1; Zhang, Xinyu 2; Wang, Shouyang 2
刊名	ECONOMETRIC REVIEWS
	2020-06-03
页码	25
关键词	Heteroscedasticity-robust model averaging multiplicative heteroscedasticity plug-in squared prediction risk
ISSN号	0747-4938
DOI	10.1080/07474938.2020.1770995
英文摘要	In recent years, the body of literature on frequentist model averaging in econometrics has grown significantly. Most of this work focuses on models with different mean structures but leaves out the variance consideration. In this article, we consider a regression model with multiplicative heteroscedasticity and develop a model averaging method that combines maximum likelihood estimators of unknown parameters in both the mean and variance functions of the model. Our weight choice criterion is based on a minimization of a plug-in estimator of the model average estimator's squared prediction risk. We prove that the new estimator possesses an asymptotic optimality property. Our investigation of finite-sample performance by simulations demonstrates that the new estimator frequently exhibits very favorable properties compared with some existing heteroscedasticity-robust model average estimators. The model averaging method hedges against the selection of very bad models and serves as a remedy to variance function mis-specification, which often discourages practitioners from modeling heteroscedasticity altogether. The proposed model average estimator is applied to the analysis of two data sets on housing and economic growth.
资助项目	National Natural Science Foundation of China[71925007] ; National Natural Science Foundation of China[71631008] ; National Natural Science Foundation of China[11871294] ; City University of Hong Kong[7004985] ; Ministry of Education in China[17YJC910011]
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:000542771200001
内容类型	期刊论文
源URL	[http://ir.amss.ac.cn/handle/2S8OKBNM/51696]
专题	中国科学院数学与系统科学研究院
通讯作者	Zhang, Xinyu
作者单位	1.City Univ Hong Kong, Dept Management Sci, Hong Kong, Peoples R China 2.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China 3.Minzu Univ China, Sch Sci, Beijing, Peoples R China 4.Penn State Univ, Dept Stat, University Pk, PA 16802 USA
推荐引用方式 GB/T 7714	Zhao, Shangwei,Ma, Yanyuan,Wan, Alan T. K.,et al. Model averaging in a multiplicative heteroscedastic model[J]. ECONOMETRIC REVIEWS,2020:25.
APA	Zhao, Shangwei,Ma, Yanyuan,Wan, Alan T. K.,Zhang, Xinyu,&Wang, Shouyang.(2020).Model averaging in a multiplicative heteroscedastic model.ECONOMETRIC REVIEWS,25.
MLA	Zhao, Shangwei,et al."Model averaging in a multiplicative heteroscedastic model".ECONOMETRIC REVIEWS (2020):25.