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Model averaging with covariates that are missing completely at random

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  • Zhang, Xinyu

Abstract

Missing 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.

Suggested Citation

  • Zhang, Xinyu, 2013. "Model averaging with covariates that are missing completely at random," Economics Letters, Elsevier, vol. 121(3), pages 360-363.
    • Handle: RePEc:eee:ecolet:v:121:y:2013:i:3:p:360-363
    DOI: 10.1016/j.econlet.2013.09.008
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    References listed on IDEAS

    as
    1. 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.
    2. 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.
    3. repec:hal:journl:peer-00815561 is not listed on IDEAS
    4. 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.
    5. Xinyu Zhang & Alan Wan & Sherry Zhou, 2012. "Focused Information Criteria, Model Selection, and Model Averaging in a Tobit Model With a Nonzero Threshold," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(1), pages 132-142.
    6. Bruce E. Hansen, 2007. "Least Squares Model Averaging," Econometrica, Econometric Society, vol. 75(4), pages 1175-1189, July.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Zhao, Shangwei & Zhou, Jianhong & Li, Hongjun, 2016. "Model averaging with high-dimensional dependent data," Economics Letters, Elsevier, vol. 148(C), pages 68-71.
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    3. Yuting Wei & Qihua Wang & Wei Liu, 2021. "Model averaging for linear models with responses missing at random," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 73(3), pages 535-553, June.
    4. Yuan, Chaoxia & Fang, Fang & Ni, Lyu, 2022. "Mallows model averaging with effective model size in fragmentary data prediction," Computational Statistics & Data Analysis, Elsevier, vol. 173(C).

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    More about this item

    Keywords

    Asymptotic optimality; Mallows model averaging; Missing data;
    All these keywords.

    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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