Post-averaging inference for optimal model averaging estimator in generalized linear models

References

• Akaike, H. ( 1973). Maximum likelihood identification of gaussian autoregressive moving average models. Biometrika 60(2):255–265. doi:10.1093/biomet/60.2.255
   Web of Science ®Google Scholar
• Brännäs, K., Shahiduzzaman Quoreshi, A. M. M. ( 2010). Integer-valued moving average modelling of the number of transactions in stocks. Applied Financial Economics 20(18):1429–1440. doi:10.1080/09603107.2010.498343
   Google Scholar
• Buckland, S. T., Burnham, K. P., Augustin, N. H. ( 1997). Model selection: An integral part of inference. Biometrics 53(2):603. doi:10.2307/2533961
   Web of Science ®Google Scholar
• Charkhi, A., Claeskens, G. ( 2018). Asymptotic post-selection inference for the akaike information criterion. Biometrika 105(3):645–664. doi:10.1093/biomet/asy018
   Web of Science ®Google Scholar
• Cheng, X., Hansen, B. E. ( 2015). Forecasting with factor-augmented regression: A frequentist model averaging approach. Journal of Econometrics 186(2):280–293. doi:10.1016/j.jeconom.2015.02.010
   Web of Science ®Google Scholar
• Chung, J., Hong, Y. ( 2007). Model-free evaluation of directional predictability in foreign exchange markets. Journal of Applied Econometrics 22(5):855–889. doi:10.1002/jae.965
   Web of Science ®Google Scholar
• Ding, J., Tarokh, V., Yang, Y. ( 2018). Bridging AIC and BIC: A new criterion for autoregression. IEEE Transactions on Information Theory 64(6):4024–4043. doi:10.1109/TIT.2017.2717599
   Web of Science ®Google Scholar
• Fang, F., Lan, W., Tong, J., Shao, J. ( 2019). Model averaging for prediction with fragmentary data. Journal of Business & Economic Statistics 37(3):517–527. doi:10.1080/07350015.2017.1383263
   Web of Science ®Google Scholar
• Fang, F., Li, J., Xia, X. ( 2020-12). Semiparametric model averaging prediction for dichotomous response. Journal of Econometrics 229(2):219–245. doi:10.1016/j.jeconom.2020.09.008.
   Web of Science ®Google Scholar
• Feng, Y., Liu, Q., Yao, Q., Zhao, G. ( 2021). Model averaging for nonlinear regression models. Journal of Business & Economic Statistics 40(2):785–798.
   Web of Science ®Google Scholar
• Flynn, C. J., Hurvich, C. M., Simonoff, J. S. ( 2013). Efficiency for regularization parameter selection in penalized likelihood estimation of misspecified models. Journal of the American Statistical Association 108(503):1031–1043. doi:10.1080/01621459.2013.801775
   Web of Science ®Google Scholar
• Gospodinov, N., Maasoumi, E. ( 2021). Generalized aggregation of misspecified models: With an application to asset pricing. Journal of Econometrics 222(1):451–467. doi:10.1016/j.jeconom.2020.07.010
   Web of Science ®Google Scholar
• Hansen, B. E. ( 2007). Least squares model averaging. Econometrica 75(4):1175–1189. doi:10.1111/j.1468-0262.2007.00785.x
   Web of Science ®Google Scholar
• Hansen, B. E. ( 2014). Model averaging, asymptotic risk, and regressor groups. Quantitative Economics 5(3):495–530. doi:10.3982/QE332
   Web of Science ®Google Scholar
• Hansen, B. E., Racine, J. S. ( 2012). Jackknife model averaging. Journal of Econometrics 167(1):38–46. doi:10.1016/j.jeconom.2011.06.019
   Web of Science ®Google Scholar
• Hong, Y., Chung, J. ( 2003). Are the directions of stock price changes predictable? Statistical theory and evidence. Manuscript. Ithaca, NY: Cornell University.
   Google Scholar
• Hong, Y., Lee, T.-H. ( 2003). Inference on predictability of foreign exchange rates via generalized spectrum and nonlinear time series models. Review of Economics and Statistics 85(4):1048–1062. doi:10.1162/003465303772815925
   Web of Science ®Google Scholar
• Jiang, C., Maasoumi, E., Xiao, Z. ( 2020). Quantile aggregation and combination for stock return prediction. Econometric Reviews 39(7):715–743. doi:10.1080/07474938.2020.1771902
   Web of Science ®Google Scholar
• Jung, R. C., Winkelmann, R. ( 1993). Two aspects of labor mobility: A bivariate poisson regression approach. Empirical Economics 18(3):543–556. doi:10.1007/BF01176203
   Google Scholar
• Kabaila, P. ( 2009). The coverage properties of confidence regions after model selection. International Statistical Review 77(3):405–414. doi:10.1111/j.1751-5823.2009.00089.x
   Web of Science ®Google Scholar
• Kauppi, H., Saikkonen, P. ( 2008). Predicting U.S. recessions with dynamic binary response models. Review of Economics and Statistics 90(4):777–791. doi:10.1162/rest.90.4.777
   Web of Science ®Google Scholar
• Kim, J., Pollard, D. ( 1990). Cube root asymptotics. The Annals of Statistics 18:191–219.
   Web of Science ®Google Scholar
• Lee, T.-H., Yang, Y. ( 2006). Bagging binary and quantile predictors for time series. Journal of Econometrics 135(1-2):465–497. doi:10.1016/j.jeconom.2005.07.017
   Web of Science ®Google Scholar
• Li, C., Li, Q., Racine, J. S., Zhang, D. ( 2018). Optimal model averaging of varying coefficient models. Statistica Sinica 28:2795–2809.
   Web of Science ®Google Scholar
• Liu, C.-A. ( 2015). Distribution theory of the least squares averaging estimator. Journal of Econometrics 186(1):142–159. doi:10.1016/j.jeconom.2014.07.002
   Web of Science ®Google Scholar
• Liu, Q., Yao, Q., Zhao, G. ( 2020). Model averaging estimation for conditional volatility models with an application to stock market volatility forecast. Journal of Forecasting 39(5):841–863. doi:10.1002/for.2659
   Web of Science ®Google Scholar
• Lu, X., Su, L. ( 2015). Jackknife model averaging for quantile regressions. Journal of Econometrics 188(1):40–58. doi:10.1016/j.jeconom.2014.11.005
   Web of Science ®Google Scholar
• Lv, J., Liu, J. S. ( 2014). Model selection principles in misspecified models. Journal of the Royal Statistical Society Series B: Statistical Methodology 76(1):141–167. doi:10.1111/rssb.12023
   Web of Science ®Google Scholar
• Mccullagh, P., Nelder, J. A. ( 2019). Generalized Linear Models. London, UK: Routledge.
   Google Scholar
• Newey, W. K. ( 1991). Uniform convergence in probability and stochastic equicontinuity. Econometrica 59(4):1161 doi:10.2307/2938179
   Web of Science ®Google Scholar
• Racine, J., Li, Q., Yu, D., Zheng, L. ( 2022). Optimal model averaging of mixed-data kernel-weighted spline regressions. Journal of Business & Economic Statistics 41(4):1251–1261 doi:10.1080/07350015.2022.2118126.
   Web of Science ®Google Scholar
• Schwarz, G. ( 1978). Estimating the dimension of a model. The Annals of Statistics 6:461–464.
   Web of Science ®Google Scholar
• Shanmugam, R. ( 1985). An intervened poisson distribution and its medical application. Biometrics 41(4):1025. doi:10.2307/2530973
   PubMed Web of Science ®Google Scholar
• Shi, X., Shum, M., Song, W. ( 2018). Estimating semi-parametric panel multinomial choice models using cyclic monotonicity. Econometrica 86(2):737–761. doi:10.3982/ECTA14115
   Web of Science ®Google Scholar
• Stone, M. ( 1977). An asymptotic equivalence of choice of model by cross-validation and akaike’s criterion. Journal of the Royal Statistical Society: Series B (Methodological) 39(1):44–47. doi:10.1111/j.2517-6161.1977.tb01603.x
   Web of Science ®Google Scholar
• Sun, Y., Hong, Y., Lee, T.-H., Wang, S., Zhang, X. ( 2021). Time-varying model averaging. Journal of Econometrics 222(2):974–992. doi:10.1016/j.jeconom.2020.02.006
   Web of Science ®Google Scholar
• Ullah, A., Wan, A. T. K., Wang, H., Zhang, X., Zou, G. ( 2017). A semiparametric generalized ridge estimator and link with model averaging. Econometric Reviews 36(1-3):370–384. doi:10.1080/07474938.2015.1114564
   Web of Science ®Google Scholar
• White, H. ( 1982). Maximum likelihood estimation of misspecified models. Econometrica 50(1):1. doi:10.2307/1912526
   Web of Science ®Google Scholar
• Winner, L. ( 2006). Nascar winston cup race results for 1975-2003. Journal of Statistics Education 14(3).
   Google Scholar
• Yang, Y. ( 2004). Combining forecasting procedures: Some theoretical results. Economic Theory 20:176–222.
   Web of Science ®Google Scholar
• Yin, S.-Y., Liu, C.-A., Lin, C.-C. ( 2021). Focused information criterion and model averaging for large panels with a multifactor error structure. Journal of Business & Economic Statistics 39(1):54–68. doi:10.1080/07350015.2019.1623044
   Web of Science ®Google Scholar
• Yu, D., Zhang, X., Yau, K. K. W. ( 2018). Asymptotic properties and information criteria for misspecified generalized linear mixed models. Journal of the Royal Statistical Society Series B: Statistical Methodology 80(4):817–836. doi:10.1111/rssb.12270
   Web of Science ®Google Scholar
• Zhang, X., Liu, C.-A. ( 2019). Inference after model averaging in linear regression models. Econometric Theory 35(4):816–841. doi:10.1017/S0266466618000269
   Web of Science ®Google Scholar
• Zhang, X., Yu, D., Zou, G., Liang, H. ( 2016). Optimal model averaging estimation for generalized linear models and generalized linear mixed-effects models. Journal of the American Statistical Association 111(516):1775–1790. doi:10.1080/01621459.2015.1115762
   Web of Science ®Google Scholar