OPTIMAL MODEL AVERAGING BASED ON GENERALIZED METHOD OF MOMENTS

doi:10.5705/ss.202019.0230

	OPTIMAL MODEL AVERAGING BASED ON GENERALIZED METHOD OF MOMENTS
	Zhang, Xinyu
刊名	STATISTICA SINICA
	2021-10-01
卷号	31 期号:4 页码:2103-2122
关键词	Asymptotic optimality consistency generalized method of moments model averaging
ISSN号	1017-0405
DOI	10.5705/ss.202019.0230
英文摘要	We propose a model averaging method that combines estimators from the generalized method of moments (GMM). Unlike other GMM-based model averaging procedures, this method allows all candidate models to be misspecified (not locally misspecified). We prove that when all candidate models are misspecified, the proposed method is optimal in the sense of minimizing the estimation loss; when there exists at least one correctly specified model, the method can achieve the common root-n convergence rate. Simulation experiments and an application to a housing market show the superiority of our method over other methods.
资助项目	National Natural Science Foundation of China[71925007] ; National Natural Science Foundation of China[72091212] ; National Natural Science Foundation of China[71988101] ; National Natural Science Foundation of China[11688101] ; Youth Innovation Promotion Association of Chinese Academy of Sciences ; Beijing Academy of Artificial Intelligence ; joint grant from the Academy for Multidisciplinary Studies, Capital Normal University
WOS研究方向	Mathematics
语种	英语
出版者	STATISTICA SINICA
WOS记录号	WOS:000760868800020
内容类型	期刊论文
源URL	[http://ir.amss.ac.cn/handle/2S8OKBNM/60038]
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	Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China
推荐引用方式 GB/T 7714	Zhang, Xinyu. OPTIMAL MODEL AVERAGING BASED ON GENERALIZED METHOD OF MOMENTS[J]. STATISTICA SINICA,2021,31(4):2103-2122.
APA	Zhang, Xinyu.(2021).OPTIMAL MODEL AVERAGING BASED ON GENERALIZED METHOD OF MOMENTS.STATISTICA SINICA,31(4),2103-2122.
MLA	Zhang, Xinyu."OPTIMAL MODEL AVERAGING BASED ON GENERALIZED METHOD OF MOMENTS".STATISTICA SINICA 31.4(2021):2103-2122.