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Consistency of model averaging estimators

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  • Zhang, Xinyu

Abstract

Recently, there has been increasing interest in model averaging within frequentist paradigm. In the existing literature, for proving consistency of model averaging estimators, local mis-specification is assumed. In this paper, we show that under general fixed parameter setup, the model averaging estimators remain root-n consistent. This result provides a new theoretical basis for the use of model averaging estimators.

Suggested Citation

  • Zhang, Xinyu, 2015. "Consistency of model averaging estimators," Economics Letters, Elsevier, vol. 130(C), pages 120-123.
    • Handle: RePEc:eee:ecolet:v:130:y:2015:i:c:p:120-123
    DOI: 10.1016/j.econlet.2015.03.017
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    References listed on IDEAS

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    1. Raftery A.E. & Zheng Y., 2003. "Discussion: Performance of Bayesian Model Averaging," Journal of the American Statistical Association, American Statistical Association, vol. 98, pages 931-938, January.
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    3. Liu, Chu-An, 2015. "Distribution theory of the least squares averaging estimator," Journal of Econometrics, Elsevier, vol. 186(1), pages 142-159.
    4. Hansen, Bruce E. & Racine, Jeffrey S., 2012. "Jackknife model averaging," Journal of Econometrics, Elsevier, vol. 167(1), pages 38-46.
    5. Liang, Hua & Zou, Guohua & Wan, Alan T. K. & Zhang, Xinyu, 2011. "Optimal Weight Choice for Frequentist Model Average Estimators," Journal of the American Statistical Association, American Statistical Association, vol. 106(495), pages 1053-1066.
    6. Qingfeng Liu & Ryo Okui, 2013. "Heteroscedasticity‐robust C(p) model averaging," Econometrics Journal, Royal Economic Society, vol. 16(3), pages 463-472, October.
    7. Bruce E. Hansen, 2014. "Model averaging, asymptotic risk, and regressor groups," Quantitative Economics, Econometric Society, vol. 5(3), pages 495-530, November.
    8. Andrews, Donald W. K., 1991. "Asymptotic optimality of generalized CL, cross-validation, and generalized cross-validation in regression with heteroskedastic errors," Journal of Econometrics, Elsevier, vol. 47(2-3), pages 359-377, February.
    9. Bruce E. Hansen, 2007. "Least Squares Model Averaging," Econometrica, Econometric Society, vol. 75(4), pages 1175-1189, July.
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    Citations

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    Cited by:

    1. Shangwei Zhao & Jun Liao & Dalei Yu, 2020. "Model averaging estimator in ridge regression and its large sample properties," Statistical Papers, Springer, vol. 61(4), pages 1719-1739, August.
    2. Chen, Qitong & Hong, Yongmiao & Li, Haiqi, 2024. "Time-varying forecast combination for factor-augmented regressions with smooth structural changes," Journal of Econometrics, Elsevier, vol. 240(1).
    3. Zhang, Xinyu & Liu, Chu-An, 2023. "Model averaging prediction by K-fold cross-validation," Journal of Econometrics, Elsevier, vol. 235(1), pages 280-301.
    4. Guillaume Coqueret, 2023. "Forking paths in financial economics," Papers 2401.08606, arXiv.org.
    5. Liao, Jun & Zou, Guohua, 2020. "Corrected Mallows criterion for model averaging," Computational Statistics & Data Analysis, Elsevier, vol. 144(C).
    6. Sun, Yuying & Hong, Yongmiao & Lee, Tae-Hwy & Wang, Shouyang & Zhang, Xinyu, 2021. "Time-varying model averaging," Journal of Econometrics, Elsevier, vol. 222(2), pages 974-992.
    7. Wenchao Xu & Xinyu Zhang, 2024. "On Asymptotic Optimality of Least Squares Model Averaging When True Model Is Included," Papers 2411.09258, arXiv.org.
    8. Fang, Fang & Liu, Minhan, 2020. "Limit of the optimal weight in least squares model averaging with non-nested models," Economics Letters, Elsevier, vol. 196(C).
    9. Haili Zhang & Guohua Zou, 2020. "Cross-Validation Model Averaging for Generalized Functional Linear Model," Econometrics, MDPI, vol. 8(1), pages 1-35, February.
    10. Fang, Fang & Yang, Qiwei & Tian, Wenling, 2022. "Cross-validation for selecting the penalty factor in least squares model averaging," Economics Letters, Elsevier, vol. 217(C).
    11. Jan Lohmeyer & Franz Palm & Jean‐Pierre Urbain, 2024. "Consistency of averaged impulse response estimators in vector autoregressive models," Journal of Time Series Analysis, Wiley Blackwell, vol. 45(5), pages 691-713, September.

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    More about this item

    Keywords

    Consistency; Jackknife model averaging; Mallows model averaging; Smoothed AIC; Smoothed BIC;
    All these keywords.

    JEL classification:

    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection

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