The paper introduces a new Frequentist model averaging estimation procedure, based on a stacked OLS estimator across models, implementable on cross-sectional, panel, as well as time series data. The proposed estimator shows the same optimal properties of the OLS estimator under the usual set of assumptions concerning the population regression model. Relatively to available alternative approaches, it has the advantage of performing model averaging ex-ante in a single step, optimally selecting models’ weight according to the MSE metric, i.e. by minimizing the squared Euclidean distance between actual and predicted value vectors. Moreover, it is straightforward to implement, only requiring the estimation of a single OLS augmented regression. By exploiting ex-ante a broader information set and benefiting of more degrees of freedom, the proposed approach yields more accurate and (relatively) more efficient estimation than available ex-post methods

Morana, C. (2015). Model Averaging by Stacking. OPEN JOURNAL OF STATISTICS, 5(7), 797-807 [10.4236/ojs.2015.57079].

Model Averaging by Stacking

MORANA, CLAUDIO
2015

Abstract

The paper introduces a new Frequentist model averaging estimation procedure, based on a stacked OLS estimator across models, implementable on cross-sectional, panel, as well as time series data. The proposed estimator shows the same optimal properties of the OLS estimator under the usual set of assumptions concerning the population regression model. Relatively to available alternative approaches, it has the advantage of performing model averaging ex-ante in a single step, optimally selecting models’ weight according to the MSE metric, i.e. by minimizing the squared Euclidean distance between actual and predicted value vectors. Moreover, it is straightforward to implement, only requiring the estimation of a single OLS augmented regression. By exploiting ex-ante a broader information set and benefiting of more degrees of freedom, the proposed approach yields more accurate and (relatively) more efficient estimation than available ex-post methods
Articolo in rivista - Articolo scientifico
Model Averaging; Model Uncertainty
English
797
807
11
Morana, C. (2015). Model Averaging by Stacking. OPEN JOURNAL OF STATISTICS, 5(7), 797-807 [10.4236/ojs.2015.57079].
Morana, C
File in questo prodotto:
File Dimensione Formato  
OJS_2015123011364803.pdf

accesso aperto

Descrizione: articolo principale
Dimensione 302.06 kB
Formato Adobe PDF
302.06 kB Adobe PDF Visualizza/Apri

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10281/99780
Citazioni
  • Scopus ND
  • ???jsp.display-item.citation.isi??? ND
Social impact