OPTIMAL MODEL AVERAGING OF VARYING COEFFICIENT MODELS

doi:10.5705/ss.202017.0034

CORC > 上海财经大学 > 上海财经大学

	OPTIMAL MODEL AVERAGING OF VARYING COEFFICIENT MODELS
	Li, Cong 1; Li, Qi 3,4; Racine, Jeffrey S.5,6,7,8,9; Zhang, Daiqiang 10
刊名	STATISTICA SINICA
	2018-10
卷号	28 期号:4 页码:2795-2809
关键词	Candidate models kernel smoothing semiparametric
ISSN号	1017-0405
DOI	10.5705/ss.202017.0034
英文摘要	We consider the problem of model averaging over a set of semiparametric varying coefficient models where the varying coefficients can be functions of continuous and categorical variables. We propose a Mallows model averaging procedure that is capable of delivering model averaging estimators with solid finite-sample performance. Theoretical underpinnings are provided, finite-sample performance is assessed via Monte Carlo simulation, and an illustrative application is presented. The approach is very simple to implement in practice and R code is provided as supplementary material.
WOS研究方向	Mathematics
语种	英语
出版者	STATISTICA SINICA
WOS记录号	WOS:000450217700056
内容类型	期刊论文
源URL	[http://10.2.47.112/handle/2XS4QKH4/494]
专题	上海财经大学
通讯作者	Li, Cong
作者单位	1.Shanghai Univ Finance & Econ, Sch Econ, 777 Guoding Rd, Shanghai 200433, Peoples R China; 2.Minist Educ, Key Lab Math Econ SUFE, Shanghai 200433, Peoples R China; 3.Capital Univ Econ & Business, ISEM, Beijing 100070, Peoples R China; 4.Texas A&M Univ, Dept Econ, College Stn, TX 77843 USA; 5.McMaster Univ, Dept Econ, 1280 Main St W, Hamilton, ON L8S 4L8, Canada; 6.McMaster Univ, Grad Program Stat, 1280 Main St W, Hamilton, ON L8S 4L8, Canada; 7.La Trobe Univ, Dept Econ & Finance, Plenty Rd & Kingsbury Dr, Bundoora, Vic 3086, Australia; 8.Amer Univ, Infometr Inst, 4400 Massachusetts Ave NW, Washington, DC 20016 USA; 9.Aarhus Univ, Ctr Res Econometr Anal Time Series CREATES, Rimini Ctr Econ Anal, DK-8210 Aarhus V, Denmark; 10.SUNY Albany, Dept Econ, Albany, NY 12222 USA
推荐引用方式 GB/T 7714	Li, Cong,Li, Qi,Racine, Jeffrey S.,et al. OPTIMAL MODEL AVERAGING OF VARYING COEFFICIENT MODELS[J]. STATISTICA SINICA,2018,28(4):2795-2809.
APA	Li, Cong,Li, Qi,Racine, Jeffrey S.,&Zhang, Daiqiang.(2018).OPTIMAL MODEL AVERAGING OF VARYING COEFFICIENT MODELS.STATISTICA SINICA,28(4),2795-2809.
MLA	Li, Cong,et al."OPTIMAL MODEL AVERAGING OF VARYING COEFFICIENT MODELS".STATISTICA SINICA 28.4(2018):2795-2809.