Advanced Search
MyIDEAS: Login to save this paper or follow this series

Least Squares Model Averaging by Prediction Criterion

Contents:

Author Info

  • Tian Xie

    ()

Registered author(s):

    Abstract

    This paper proposes a new estimator for least squares model averaging. A model average estimator is a weighted average of common estimates obtained from a set of models. We propose computing weights by minimizing a model average prediction criterion (MAPC). We prove that the MAPC estimator is asymptotically optimal in the sense of achieving the lowest possible mean squared error. For statistical inference, we derive asymptotic tests for single hypotheses and joint hypotheses on the average coefficients for the "core" regressors. These regressors are of primary interest to us and are included in every approximation model. To improve the finite sample performance, we also consider bootstrap tests. In simulation experiments the MAPC estimator is shown to have significant efficiency gains over existing model selection and model averaging methods. We also show that the bootstrap tests have more reasonable rejection frequency than the asymptotic tests in small samples. As an empirical illustration, we apply the MAPC estimator to cross-country economic growth models.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://qed.econ.queensu.ca/working_papers/papers/qed_wp_1299.pdf
    File Function: First version 2012
    Download Restriction: no

    Bibliographic Info

    Paper provided by Queen's University, Department of Economics in its series Working Papers with number 1299.

    as in new window
    Length: 41 pages
    Date of creation: Nov 2012
    Date of revision:
    Handle: RePEc:qed:wpaper:1299

    Contact details of provider:
    Postal: Kingston, Ontario, K7L 3N6
    Phone: (613) 533-2250
    Fax: (613) 533-6668
    Email:
    Web page: http://qed.econ.queensu.ca/
    More information through EDIRC

    Related research

    Keywords: Model Averaging; MAPC; Convex Optimization; Optimality; Statistical Inference;

    Find related papers by JEL classification:

    References

    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
    as in new window
    1. Russell Davidson & James G. MacKinnon, 2001. "Bootstrap Tests: How Many Bootstraps?," Working Papers 1036, Queen's University, Department of Economics.
    2. Robert J. Barro, 1989. "Economic Growth in a Cross Section of Countries," NBER Working Papers 3120, National Bureau of Economic Research, Inc.
    3. Hansen, Bruce E. & Racine, Jeffrey S., 2012. "Jackknife model averaging," Journal of Econometrics, Elsevier, vol. 167(1), pages 38-46.
    4. 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.
    5. Chun Liu & John M Maheu, 2008. "Forecasting Realized Volatility: A Bayesian Model Averaging Approach," Working Papers tecipa-313, University of Toronto, Department of Economics.
    6. Hendry, David F., 1976. "The structure of simultaneous equations estimators," Journal of Econometrics, Elsevier, vol. 4(1), pages 51-88, February.
    7. Fan J. & Li R., 2001. "Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties," Journal of the American Statistical Association, American Statistical Association, vol. 96, pages 1348-1360, December.
    8. Pagan, Adrian, 1987. " Three Econometric Methodologies: A Critical Appraisal," Journal of Economic Surveys, Wiley Blackwell, vol. 1(1), pages 3-24.
    9. Douglas Staiger & James H. Stock, 1994. "Instrumental Variables Regression with Weak Instruments," NBER Technical Working Papers 0151, National Bureau of Economic Research, Inc.
    10. David F. Hendry & Bent Nielsen, 2007. "Preface to Econometric Modeling: A Likelihood Approach
      [Econometric Modeling: A Likelihood Approach]
      ," Introductory Chapters, Princeton University Press.
    Full references (including those not matched with items on IDEAS)

    Citations

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:qed:wpaper:1299. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Mark Babcock).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.