Kenichiro McAlinn, Kosaku Takanashi
arXiv 3 Dec 2019 · Econometrics
arXiv:1912.01194 · PDF · DOI · OpenAlex · Extracted main text
This paper proposes a new estimator for selecting weights to average over least squares estimates obtained from a set of models. Our proposed estimator builds on the Mallows model average (MMA) estimator of Hansen (2007), but, unlike MMA, simultaneously controls for location bias and regression error through a common constant. We show that our proposed estimator-- the mean-shift Mallows model average (MSA) estimator-- is asymptotically optimal to the original MMA estimator in terms of mean squared error. A simulation study is presented, where we show that our proposed estimator uniformly outperforms the MMA estimator.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Hansen, B. E (2007) Least squares model averaging | 1.000 | 18 | 5 | 100% |
| 2 | Wan, A. T., Zhang, X., Zou, G (2010) Least squares model averaging by mallows criterion | 0.874 | 5 | 2 | 100% |
| 3 | Bates, J. M., Granger, C. W. J (1969) The combination of forecasts | 0.511 | 2 | 1 | 100% |
| 4 | Aastveit, K. A., Gerdrup, K. R., Jore, A. S., Thorsrud, L. A (2014) Nowcasting GDP in real time: A density combination approach | 0.405 | 1 | 1 | 100% |
| 5 | Aastveit, K. A., Ravazzolo, F., Van Dijk, H. K (2018) b | 0.405 | 1 | 1 | 100% |
| 6 | Amisano, G. G., Giacomini, R (2007) Comparing density forecasts via weighted likelihood ratio tests | 0.405 | 1 | 1 | 100% |
| 7 | Billio, M., Casarin, R., Ravazzolo, F., van Dijk, H. K (2012) Combination schemes for turning point predictions | 0.405 | 1 | 1 | 100% |
| 8 | Billio, M., Casarin, R., Ravazzolo, F., van Dijk, H. K (2013) Time-varying combinations of predictive densities using nonlinear filtering | 0.405 | 1 | 1 | 100% |
| 9 | Kapetanios, G., Mitchell, J., Price, S., Fawcett, N (2015) Generalised density forecast combinations | 0.405 | 1 | 1 | 100% |
| 10 | Geweke, J. F., Amisano, G. G (2011) Optimal prediction pools | 0.405 | 1 | 1 | 100% |
Showing the top 10 of 35 scored citations.