کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5095677 1376478 2016 15 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Testing a single regression coefficient in high dimensional linear models
ترجمه فارسی عنوان
تست یک ضریب رگرسیون تک در مدل های خطی با ابعاد بزرگ
کلمات کلیدی
نمایش پیش بینی های متقابل، نرخ کشف دروغ، داده های با ابعاد بزرگ، تست ضریب تک،
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
چکیده انگلیسی
In linear regression models with high dimensional data, the classical z-test (or t-test) for testing the significance of each single regression coefficient is no longer applicable. This is mainly because the number of covariates exceeds the sample size. In this paper, we propose a simple and novel alternative by introducing the Correlated Predictors Screening (CPS) method to control for predictors that are highly correlated with the target covariate. Accordingly, the classical ordinary least squares approach can be employed to estimate the regression coefficient associated with the target covariate. In addition, we demonstrate that the resulting estimator is consistent and asymptotically normal even if the random errors are heteroscedastic. This enables us to apply the z-test to assess the significance of each covariate. Based on the p-value obtained from testing the significance of each covariate, we further conduct multiple hypothesis testing by controlling the false discovery rate at the nominal level. Then, we show that the multiple hypothesis testing achieves consistent model selection. Simulation studies and empirical examples are presented to illustrate the finite sample performance and the usefulness of the proposed method, respectively.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 195, Issue 1, November 2016, Pages 154-168
نویسندگان
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