Time-varying model averaging?

doi:10.1016/j.jeconom.2020.02.006

	Time-varying model averaging?
	Sun, Yuying 1,6,7; Hong, Yongmiao 3,4,5; Lee, Tae-Hwy 2; Wang, Shouyang 1,6,7; Zhang, Xinyu 1,7
刊名	JOURNAL OF ECONOMETRICS
	2021-06-01
卷号	222 期号:2 页码:974-992
关键词	Asymptotic optimality Forecast combination Local stationarity Model averaging Structural change Time-varying model averaging
ISSN号	0304-4076
DOI	10.1016/j.jeconom.2020.02.006
英文摘要	Structural changes often occur in economics and finance due to changes in preferences, technologies, institutional arrangements, policies, crises, etc. Improving forecast accuracy of economic time series with structural changes is a long-standing problem. Model averaging aims at providing an insurance against selecting a poor forecast model. All existing model averaging approaches in the literature are designed with constant (non-time-varying) combination weights. Little attention has been paid to time-varying model averaging, which is more realistic in economics under structural changes. This paper proposes a novel model averaging estimator which selects optimal time-varying combination weights by minimizing a local jackknife criterion. It is shown that the proposed time-varying jackknife model averaging (TVJMA) estimator is asymptotically optimal in the sense of achieving the lowest possible local squared error loss in a class of time-varying model averaging estimators. Under a set of regularity assumptions, the (TVJMA) estimator is root Th-consistent. A simulation study and an empirical application highlight the merits of the proposed TVJMA estimator relative to a variety of popular estimators with constant model averaging weights and model selection. (C) 2020 Elsevier B.V. All rights reserved.
资助项目	National Natural Science Foundation of China (NNSFC) Grant[71703156] ; National Natural Science Foundation of China (NNSFC) Grant[71973116] ; Fujian Provincial Key Laboratory of Statistics, Xiamen University[201601] ; NNSFC Grant[71988101] ; NNSFC Grant[71925007] ; NNSFC Grant[11688101] ; Youth Innovation Promotion Association of the Chinese Academy of Sciences ; Beijing Academy of Artificial Intelligence ; Academy for Multidisciplinary Studies, Capital Normal University
WOS研究方向	Business & Economics ; Mathematics ; Mathematical Methods In Social Sciences
语种	英语
出版者	ELSEVIER SCIENCE SA
WOS记录号	WOS:000640913400006
内容类型	期刊论文
源URL	[http://ir.amss.ac.cn/handle/2S8OKBNM/58469]
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.Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R China 2.Univ Calif Riverside, Dept Econ, Riverside, CA 92521 USA 3.Xiamen Univ, MOE Key Lab Econometr, Xiamen, Peoples R China 4.Cornell Univ, Dept Stat & Data Sci, Ithaca, NY 14853 USA 5.Cornell Univ, Dept Econ, Ithaca, NY 14853 USA 6.Univ Chinese Acad Sci, Sch Econ & Management, Beijing, Peoples R China 7.Chinese Acad Sci, Ctr Forecasting Sci, Beijing, Peoples R China
推荐引用方式 GB/T 7714	Sun, Yuying,Hong, Yongmiao,Lee, Tae-Hwy,et al. Time-varying model averaging?[J]. JOURNAL OF ECONOMETRICS,2021,222(2):974-992.
APA	Sun, Yuying,Hong, Yongmiao,Lee, Tae-Hwy,Wang, Shouyang,&Zhang, Xinyu.(2021).Time-varying model averaging?.JOURNAL OF ECONOMETRICS,222(2),974-992.
MLA	Sun, Yuying,et al."Time-varying model averaging?".JOURNAL OF ECONOMETRICS 222.2(2021):974-992.