Model averaging with covariates that are missing completely at random
AbstractMissing data is a common problem in economics studies. We propose using Mallows model averaging (MMA) to deal with this problem, which has an important advantage over its competitors in that it asymptotically achieves the lowest possible squared error. A simulation study in comparison with existing methods strongly favors the MMA estimator.
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 121 (2013)
Issue (Month): 3 ()
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Web page: http://www.elsevier.com/locate/ecolet
Asymptotic optimality; Mallows model averaging; Missing data;
Find related papers by JEL classification:
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
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- Valentino Dardanoni & Salvatore Modica & Franco Peracchi, 2011.
"Regression with imputed covariates: A generalized missing-indicator approach,"
- Dardanoni, Valentino & Modica, Salvatore & Peracchi, Franco, 2011. "Regression with imputed covariates: A generalized missing-indicator approach," Journal of Econometrics, Elsevier, vol. 162(2), pages 362-368, June.
- Valentino Dardanoni & Salvatore Modica & Franco Peracchi, 2009. "Regression with Imputed Covariates:a Generalized Missing Indicator Approach," CEIS Research Paper 150, Tor Vergata University, CEIS, revised 08 Oct 2009.
- Valentino Dardanoni & Salvatore Modica & Franco Peracchi, 2011. "Regression with imputed covariates: A generalized missing-indicator approach," Post-Print hal-00815561, HAL.
- Schomaker, Michael & Wan, Alan T.K. & Heumann, Christian, 2010. "Frequentist Model Averaging with missing observations," Computational Statistics & Data Analysis, Elsevier, vol. 54(12), pages 3336-3347, December.
- Wan, Alan T.K. & Zhang, Xinyu & Zou, Guohua, 2010. "Least squares model averaging by Mallows criterion," Journal of Econometrics, Elsevier, vol. 156(2), pages 277-283, June.
- repec:taf:jnlbes:v:30:y:2012:i:1:p:132-142 is not listed on IDEAS
- Bruce E. Hansen, 2007. "Least Squares Model Averaging," Econometrica, Econometric Society, vol. 75(4), pages 1175-1189, 07.
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