کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
7408567 | 1481446 | 2014 | 11 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Frequentist model averaging for multinomial and ordered logit models
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موضوعات مرتبط
علوم انسانی و اجتماعی
مدیریت، کسب و کار و حسابداری
کسب و کار و مدیریت بین المللی
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چکیده انگلیسی
Multinomial and ordered Logit models are quantitative techniques which are used in a range of disciplines nowadays. When applying these techniques, practitioners usually select a single model using either information-based criteria or pretesting. In this paper, we consider the alternative strategy of combining models rather than selecting a single model. Our strategy of weight choice for the candidate models is based on the minimization of a plug-in estimator of the asymptotic squared error risk of the model average estimator. Theoretical justifications of this model averaging strategy are provided, and a Monte Carlo study shows that the forecasts produced by the proposed strategy are often more accurate than those produced by other common model selection and model averaging strategies, especially when the regressors are only mildly to moderately correlated and the true model contains few zero coefficients. An empirical example based on credit rating data is used to illustrate the proposed method. To reduce the computational burden, we also consider a model screening step that eliminates some of the very poor models before averaging.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Journal of Forecasting - Volume 30, Issue 1, JanuaryâMarch 2014, Pages 118-128
Journal: International Journal of Forecasting - Volume 30, Issue 1, JanuaryâMarch 2014, Pages 118-128
نویسندگان
Alan T.K. Wan, Xinyu Zhang, Shouyang Wang,