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: 2010-10

Material Format: Digital

Capacity, size, etc.: -

NDC: 331.19

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Note (General)：: この論文に対し、2011年4月に改訂版が発表されています。「関連文献」のリンクから、改訂版をご覧ください。This paper proposed a model averaging method, which is called Generalized Mallows’ Cp model avera...

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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: 2010-10
Publication Date (W3CDTF): 2010-10
Periodical title: Discussion paper series
No. or year of volume/issue: 127
Volume: 127
Pages: 1-9
Text Language Code: eng
Subject Heading: Model Averaging
Optimality
Mallows' Cp
Heteroskedastic error
経済学
NDC: 331.19
Target Audience: 一般
Note (General): この論文に対し、2011年4月に改訂版が発表されています。「関連文献」のリンクから、改訂版をご覧ください。
This paper proposed a model averaging method, which is called Generalized Mallows’ Cp model averaging (GC). It works well for heteroskedastic models. Under some regularity conditions, we show that our GC has asymptotic optimality as a model averaging method, and also has asymptotic optimality as a model selection method as well for heteroskedastic model. Some Monte-Carlo studies are performed to investigate the small sample properties of GC. The simulation results show that our method works well, gives better performance than other alternative methods.
Access Restrictions: 限定公開
Has Version (URI): URI
http://hdl.handle.net/10252/4544
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