Toward optimal model averaging in regression models with time series errors
From MaRDI portal
Abstract: Consider a regression model with infinitely many parameters and time series errors. We are interested in choosing weights for averaging across generalized least squares (GLS) estimators obtained from a set of approximating models. However, GLS estimators, depending on the unknown inverse covariance matrix of the errors, are usually infeasible. We therefore construct feasible generalized least squares (FGLS) estimators using a consistent estimator of the unknown inverse matrix. Based on this inverse covariance matrix estimator and FGLS estimators, we develop a feasible autocovariance-corrected Mallows model averaging criterion to select weights, thereby providing an FGLS model averaging estimator of the true regression function. We show that the generalized squared error loss of our averaging estimator is asymptotically equivalent to the minimum one among those of GLS model averaging estimators with the weight vectors belonging to a continuous set, which includes the discrete weight set used in Hansen (2007) as its proper subset.
Recommendations
- Model averaging prediction for time series models with a diverging number of parameters
- Regression Models with Time Series Errors
- Regression models with time series errors
- Model switching and model averaging in time-varying parameter regression models
- Publication:3200428
- Time-varying model averaging
- Optimal aggregation of linear time series models
- Asymptotically optimal estimation in misspecified time series models
Cites work
- scientific article; zbMATH DE number 3165002 (Why is no real title available?)
- scientific article; zbMATH DE number 3928147 (Why is no real title available?)
- scientific article; zbMATH DE number 3502569 (Why is no real title available?)
- scientific article; zbMATH DE number 777876 (Why is no real title available?)
- A model-averaging approach for high-dimensional regression
- A new look at the statistical model identification
- A note on mean squared prediction error under the unit root model with deterministic trend
- A stepwise regression method and consistent model selection for highdimensional sparse linear models
- Accumulated prediction errors, information criteria and optimal forecasting for autoregressive time series
- Adaptive Minimax Estimation over Sparse $\ell_q$-Hulls
- Adaptive Regression by Mixing
- Adaptive prediction by least squares predictors in stochastic regression models with applications to time series
- An Asymptotic Result for the Finite Predictor.
- An asymptotically optimal selection of the order of a linear process
- An optimal selection of regression variables
- Asymptotic optimality for \(C_ p\), \(C_ L\), cross-validation and generalized cross-validation: Discrete index set
- Asymptotic optimality of generalized \(C_ L\), cross-validation, and generalized cross-validation in regression with heteroskedastic errors
- Banded and tapered estimates for autocovariance matrices and the linear process bootstrap
- Banding sample autocovariance matrices of stationary processes
- Combining Linear Regression Models
- Heteroscedasticity-robust \(C_p\) model averaging
- Information Theory and Mixing Least-Squares Regressions
- Jackknife model averaging
- Least Squares Model Averaging
- Least squares estimates in stochastic regression models with applications to identification and control of dynamic systems
- Least squares model averaging by Mallows criterion
- Model averaging by jackknife criterion in models with dependent data
- Moment bounds and mean squared prediction errors of long-memory time series
- On same-realization prediction in an infinite-order autoregressive process.
- Order selection for same-realization predictions in autoregressive processes
- Prediction/estimation with simple linear models: is it really that simple?
- Robust forecast combinations
- Some Comments on C P
- Weak greedy algorithms
Cited in
(26)- scientific article; zbMATH DE number 7601218 (Why is no real title available?)
- Optimal model averaging estimator for multinomial logit models
- Order selection for possibly infinite-order non-stationary time series
- Sparsity oriented importance learning for high-dimensional linear regression
- Optimal model averaging for multivariate regression models
- Optimal model averaging based on forward-validation
- On the least-squares model averaging interval estimator
- Optimized regression models for time series
- Model averaging for generalized linear models with missing at random covariates
- Estimation of inverse autocovariance matrices for long memory processes
- Robust inference in AR-G/GARCH models under model uncertainty
- When and when not to use optimal model averaging
- Frequentist Model Averaging for the Nonparametric Additive Model
- Optimal model averaging estimator for semi-functional partially linear models
- Frequentist model averaging for threshold models
- Frontiers in time series and financial econometrics: an overview
- A new study on asymptotic optimality of least squares model averaging
- Oracally Efficient Estimation and Consistent Model Selection for Auto-Regressive Moving Average Time Series with Trend
- Model averaging prediction for time series models with a diverging number of parameters
- Accumulative prediction error and the selection of time series models
- On asymptotic risk of selecting models for possibly nonstationary time-series
- Optimal multistep VAR forecast averaging
- Model averaging based on leave-subject-out cross-validation for vector autoregressions
- GLS estimation and confidence sets for the date of a single break in models with trends
- Model Averaging for Nonlinear Regression Models
- On improvability of model selection by model averaging
This page was built for publication: Toward optimal model averaging in regression models with time series errors
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q888324)
