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Frequentist model averaging for threshold models

Author

Listed:
  • Yan Gao

    (Minzu University of China
    Chinese Academy of Sciences)

  • Xinyu Zhang

    (Chinese Academy of Sciences)

  • Shouyang Wang

    (Chinese Academy of Sciences)

  • Terence Tai-leung Chong

    (The Chinese University of Hong Kong)

  • Guohua Zou

    (Capital Normal University)

Abstract

This paper develops a frequentist model averaging approach for threshold model specifications. The resulting estimator is proved to be asymptotically optimal in the sense of achieving the lowest possible squared errors. In particular, when combining estimators from threshold autoregressive models, this approach is also proved to be asymptotically optimal. Simulation results show that for the situation where the existing model averaging approach is not applicable, our proposed model averaging approach has a good performance; for the other situations, our proposed model averaging approach performs marginally better than other commonly used model selection and model averaging methods. An empirical application of our approach on the US unemployment data is given.

Suggested Citation

  • Yan Gao & Xinyu Zhang & Shouyang Wang & Terence Tai-leung Chong & Guohua Zou, 2019. "Frequentist model averaging for threshold models," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 71(2), pages 275-306, April.
  • Handle: RePEc:spr:aistmt:v:71:y:2019:i:2:d:10.1007_s10463-017-0642-9
    DOI: 10.1007/s10463-017-0642-9
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    Cited by:

    1. Zhang, Xiaomeng & Zhang, Xinyu, 2023. "Optimal model averaging based on forward-validation," Journal of Econometrics, Elsevier, vol. 237(2).
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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. Xiaomeng Zhang & Wendun Wang & Xinyu Zhang, 2022. "Asymptotic Properties of the Synthetic Control Method," Papers 2211.12095, arXiv.org.
    5. 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.
    6. Greenaway-McGrevy, Ryan, 2022. "Forecast combination for VARs in large N and T panels," International Journal of Forecasting, Elsevier, vol. 38(1), pages 142-164.

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    More about this item

    Keywords

    Asymptotic optimality; Generalized cross-validation; Model averaging; Threshold model;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection

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