Generalized Cp Model Averaging for Heteroskedastic Models

Material type: 文書・図像類

Author: Liu, Qingfeng

Publisher: 小樽商科大学ビジネス創造センター

Publication date: 2011-04-20

Material Format: Digital

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NDC: 331.19

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Note (General)：: This paper proposes a model averaging method, the generalized Mallows’ Cp (GC) method, which works well for heteroskedastic models. Under some regular...

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Material Type: 文書・図像類
Title: Generalized Cp Model Averaging for Heteroskedastic Models
Author/Editor: Liu, Qingfeng
Author Heading: Liu, Qingfeng
Publication, Distribution, etc.: 小樽商科大学ビジネス創造センター
Publication Date: 2011-04-20
Publication Date (W3CDTF): 2011-04-20
Periodical title: Discussion paper series
No. or year of volume/issue: 139
Volume: 139
Pages: 1-20
Text Language Code: eng
Subject Heading: Model Averaging
Model Selection
Asymptotic Optimality
Mallows’ Cp
Heteroskedastic error
経済学
NDC: 331.19
Target Audience: 一般
Note (General): This paper proposes a model averaging method, the generalized Mallows’ Cp (GC) method, which works well for heteroskedastic models. Under some regularity conditions, we provide a feasible form of the GC method and show that the GC method has asymptotic optimality not only as a model averaging method but also as a model selection method for heteroskedastic models. We perform some Monte Carlo studies to investigate the small sample properties of the GC method. The simulation results show that our method works well and performs better than alternative methods.
Source: https://barrel.repo.nii.ac.jp/?action=repository_action_common_download&item_id=3612&item_no=1&attribute_id=21&file_no=1
https://barrel.repo.nii.ac.jp/?action=repository_action_common_download&item_id=3612&item_no=1&attribute_id=21&file_no=1
Access Restrictions: 限定公開
Data Provider (Database): 国立情報学研究所 : 学術機関リポジトリデータベース（IRDB）（機関リポジトリ）
https://irdb.nii.ac.jp
Original Data Provider (Database): 小樽商科大学 : 小樽商科大学学術成果コレクション