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政大機構典藏 > 商學院 > 國際經營與貿易學系 > 期刊論文 > Item 140.119/110942

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/110942

Title:	Model Averaging in Predictive Regressions
Authors:	郭炳伸 Liu, Chu-An;Kuo, Biing-Shen
Contributors:	國貿系
Keywords:	Forecast combination;Local asymptotic theory;Plug-in estimators
Date:	2016-06
Issue Date:	2017-07-12 11:06:22 (UTC+8)
Abstract:	In this paper, we consider forecast combination in a predictive regression. We construct the point forecast by combining predictions from all possible linear regression models, given a set of potentially relevant predictors. We derive the asymptotic risk of least-squares averaging estimators in a local asymptotic framework. We then develop a frequentist model averaging criterion, an asymptotically unbiased estimator of the asymptotic risk, to select forecast weights. Monte Carlo simulations show that our averaging estimator compares favourably with alternative methods, such as weighted AIC, weighted BIC, Mallows model averaging and jackknife model averaging. The proposed method is applied to stock return predictions.
Relation:	Econometrics Journal, 19(2), 203-231
Data Type:	article
DOI 連結:	http://dx.doi.org/10.1111/ectj.12063
DOI:	10.1111/ectj.12063
Appears in Collections:	[國際經營與貿易學系 ] 期刊論文

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