A NEW STUDY ON ASYMPTOTIC OPTIMALITY OF LEAST SQUARES MODEL AVERAGING

doi:10.1017/S0266466620000055

	A NEW STUDY ON ASYMPTOTIC OPTIMALITY OF LEAST SQUARES MODEL AVERAGING
	Zhang, Xinyu
刊名	ECONOMETRIC THEORY
	2021-04-01
卷号	37 期号:2 页码:388-407
ISSN号	0266-4666
DOI	10.1017/S0266466620000055
英文摘要	In this article, we present a comprehensive study of asymptotic optimality of least squares model averaging methods. The concept of asymptotic optimality is that in a large-sample sense, the method results in the model averaging estimator with the smallest possible prediction loss among all such estimators. In the literature, asymptotic optimality is usually proved under specific weights restriction or using hardly interpretable assumptions. This article provides a new approach to proving asymptotic optimality, in which a general weight set is adopted, and some easily interpretable assumptions are imposed. In particular, we do not impose any assumptions on the maximum selection risk and allow a larger number of regressors than that of existing studies.
资助项目	National Natural Science Foundation of China[71925007] ; National Natural Science Foundation of China[71631008] ; National Natural Science Foundation of China[11688101]
WOS研究方向	Business & Economics ; Mathematics ; Mathematical Methods In Social Sciences
语种	英语
出版者	CAMBRIDGE UNIV PRESS
WOS记录号	WOS:000641731500006
内容类型	期刊论文
源URL	[http://ir.amss.ac.cn/handle/2S8OKBNM/58472]
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. A NEW STUDY ON ASYMPTOTIC OPTIMALITY OF LEAST SQUARES MODEL AVERAGING[J]. ECONOMETRIC THEORY,2021,37(2):388-407.
APA	Zhang, Xinyu.(2021).A NEW STUDY ON ASYMPTOTIC OPTIMALITY OF LEAST SQUARES MODEL AVERAGING.ECONOMETRIC THEORY,37(2),388-407.
MLA	Zhang, Xinyu."A NEW STUDY ON ASYMPTOTIC OPTIMALITY OF LEAST SQUARES MODEL AVERAGING".ECONOMETRIC THEORY 37.2(2021):388-407.