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Frequentist model averaging for multinomial and ordered logit models

Author

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  • Wan, Alan T.K.
  • Zhang, Xinyu
  • Wang, Shouyang

Abstract

Multinomial and ordered Logit models are quantitative techniques which are used in a range of disciplines nowadays. When applying these techniques, practitioners usually select a single model using either information-based criteria or pretesting. In this paper, we consider the alternative strategy of combining models rather than selecting a single model. Our strategy of weight choice for the candidate models is based on the minimization of a plug-in estimator of the asymptotic squared error risk of the model average estimator. Theoretical justifications of this model averaging strategy are provided, and a Monte Carlo study shows that the forecasts produced by the proposed strategy are often more accurate than those produced by other common model selection and model averaging strategies, especially when the regressors are only mildly to moderately correlated and the true model contains few zero coefficients. An empirical example based on credit rating data is used to illustrate the proposed method. To reduce the computational burden, we also consider a model screening step that eliminates some of the very poor models before averaging.

Suggested Citation

  • Wan, Alan T.K. & Zhang, Xinyu & Wang, Shouyang, 2014. "Frequentist model averaging for multinomial and ordered logit models," International Journal of Forecasting, Elsevier, vol. 30(1), pages 118-128.
  • Handle: RePEc:eee:intfor:v:30:y:2014:i:1:p:118-128
    DOI: 10.1016/j.ijforecast.2013.07.013
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    References listed on IDEAS

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    Cited by:

    1. Zhao, Shangwei & Zhou, Jianhong & Yang, Guangren, 2019. "Averaging estimators for discrete choice by M-fold cross-validation," Economics Letters, Elsevier, vol. 174(C), pages 65-69.
    2. Christopher F. Parmeter & Alan T. K. Wan & Xinyu Zhang, 2019. "Model averaging estimators for the stochastic frontier model," Journal of Productivity Analysis, Springer, vol. 51(2), pages 91-103, June.
    3. Chan, Moon-tong & Yu, Dalei & Yau, Kelvin K.W., 2015. "Multilevel cumulative logistic regression model with random effects: Application to British social attitudes panel survey data," Computational Statistics & Data Analysis, Elsevier, vol. 88(C), pages 173-186.

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