Optimal model averaging for divergent-dimensional Poisson regressions

doi:10.1080/07474938.2022.2047508

	Optimal model averaging for divergent-dimensional Poisson regressions
	Zou, Jiahui 5; Wang, Wendun 4,6; Zhang, Xinyu 2,3; Zou, Guohua 1
刊名	ECONOMETRIC REVIEWS
	2022-03-01
页码	31
关键词	Asymptotic optimality consistency divergent dimension model averaging Poisson regression
ISSN号	0747-4938
DOI	10.1080/07474938.2022.2047508
英文摘要	This paper proposes a new model averaging method to address model uncertainty in Poisson regressions, allowing the dimension of covariates to increase with the sample size. We derive an unbiased estimator of the Kullback-Leibler (KL) divergence to choose averaging weights. We show that when all candidate models are misspecified, the proposed estimate is asymptotically optimal by achieving the least KL divergence among all possible averaging estimators. In another situation where correct models exist in the model space, our method can produce consistent coefficient estimates. We apply the proposed techniques to study the determinants and predict corporate innovation outcomes measured by the number of patents.
资助项目	Young Teacher Foundation from Capital University of Economics and Business[XRZ2022070] ; National Key R&D Program of China[2020AAA0105200] ; National Natural Science Foundation of China[11971323] ; National Natural Science Foundation of China[12031016] ; CAS Project for Young Scientists in Basic Research[YSBR-008]
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:000769361700001
内容类型	期刊论文
源URL	[http://ir.amss.ac.cn/handle/2S8OKBNM/60118]
专题	中国科学院数学与系统科学研究院
通讯作者	Wang, Wendun
作者单位	1.Capital Normal Univ, Sch Math Sci, Beijing, Peoples R China 2.Beijing Acad Artificial Intelligence, Beijing, Peoples R China 3.Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R China 4.Erasmus Univ, Econometr Inst, NL-3062 PA Amsterdam, Netherlands 5.Capital Univ Econ & Business, Sch Stat, Beijing, Peoples R China 6.Tinbergen Inst, Amsterdam, Netherlands
推荐引用方式 GB/T 7714	Zou, Jiahui,Wang, Wendun,Zhang, Xinyu,et al. Optimal model averaging for divergent-dimensional Poisson regressions[J]. ECONOMETRIC REVIEWS,2022:31.
APA	Zou, Jiahui,Wang, Wendun,Zhang, Xinyu,&Zou, Guohua.(2022).Optimal model averaging for divergent-dimensional Poisson regressions.ECONOMETRIC REVIEWS,31.
MLA	Zou, Jiahui,et al."Optimal model averaging for divergent-dimensional Poisson regressions".ECONOMETRIC REVIEWS (2022):31.