On the least-squares model averaging interval estimator

2017 ◽  
Vol 47 (1) ◽  
pp. 118-132 ◽  
Author(s):  
Sebastian Ankargren ◽  
Shaobo Jin
Author(s):  
Giuseppe De Luca ◽  
Jan R. Magnus

In this article, we describe the estimation of linear regression models with uncertainty about the choice of the explanatory variables. We introduce the Stata commands bma and wals, which implement, respectively, the exact Bayesian model-averaging estimator and the weighted-average least-squares estimator developed by Magnus, Powell, and Prüfer (2010, Journal of Econometrics 154: 139–153). Unlike standard pretest estimators that are based on some preliminary diagnostic test, these model-averaging estimators provide a coherent way of making inference on the regression parameters of interest by taking into account the uncertainty due to both the estimation and the model selection steps. Special emphasis is given to several practical issues that users are likely to face in applied work: equivariance to certain transformations of the explanatory variables, stability, accuracy, computing speed, and out-of-memory problems. Performances of our bma and wals commands are illustrated using simulated data and empirical applications from the literature on model-averaging estimation.


Econometrics ◽  
2019 ◽  
Vol 7 (3) ◽  
pp. 40 ◽  
Author(s):  
Tian Xie

In this paper, we study forecasting problems of Bitcoin-realized volatility computed on data from the largest crypto exchange—Binance. Given the unique features of the crypto asset market, we find that conventional regression models exhibit strong model specification uncertainty. To circumvent this issue, we suggest using least squares model-averaging methods to model and forecast Bitcoin volatility. The empirical results demonstrate that least squares model-averaging methods in general outperform many other conventional regression models that ignore specification uncertainty.


Econometrics ◽  
2019 ◽  
Vol 7 (3) ◽  
pp. 38
Author(s):  
Qingfeng Liu ◽  
Andrey L. Vasnev

To avoid the risk of misspecification between homoscedastic and heteroscedastic models, we propose a combination method based on ordinary least-squares (OLS) and generalized least-squares (GLS) model-averaging estimators. To select optimal weights for the combination, we suggest two information criteria and propose feasible versions that work even when the variance-covariance matrix is unknown. The optimality of the method is proven under some regularity conditions. The results of a Monte Carlo simulation demonstrate that the method is adaptive in the sense that it achieves almost the same estimation accuracy as if the homoscedasticity or heteroscedasticity of the error term were known.


Author(s):  
Qingfeng Liu ◽  
Ryo Okui ◽  
Arihiro Yoshimura

Sensors ◽  
2020 ◽  
Vol 21 (1) ◽  
pp. 148
Author(s):  
Tiago Rodrigues Tavares ◽  
José Paulo Molin ◽  
S. Hamed Javadi ◽  
Hudson Wallace Pereira de Carvalho ◽  
Abdul Mounem Mouazen

Visible and near infrared (vis-NIR) diffuse reflectance and X-ray fluorescence (XRF) sensors are promising proximal soil sensing (PSS) tools for predicting soil key fertility attributes. This work aimed at assessing the performance of the individual and combined use of vis-NIR and XRF sensors to predict clay, organic matter (OM), cation exchange capacity (CEC), pH, base saturation (V), and extractable (ex-) nutrients (ex-P, ex-K, ex-Ca, and ex-Mg) in Brazilian tropical soils. Individual models using the data of each sensor alone were calibrated using multiple linear regressions (MLR) for the XRF data, and partial least squares (PLS) regressions for the vis-NIR data. Six data fusion approaches were evaluated and compared against individual models using relative improvement (RI). The data fusion approaches included (i) two spectra fusion approaches, which simply combined the data of both sensors in a merged dataset, followed by support vector machine (SF-SVM) and PLS (SF-PLS) regression analysis; (ii) two model averaging approaches using the Granger and Ramanathan (GR) method; and (iii) two data fusion methods based on least squares (LS) modeling. For the GR and LS approaches, two different combinations of inputs were used for MLR. The GR2 and LS2 used the prediction of individual sensors, whereas the GR3 and LS3 used the individual sensors prediction plus the SF-PLS prediction. The individual vis-NIR models showed the best results for clay and OM prediction (RPD ≥ 2.61), while the individual XRF models exhibited the best predictive models for CEC, V, ex-K, ex-Ca, and ex-Mg (RPD ≥ 2.57). For eight out of nine soil attributes studied (clay, CEC, pH, V, ex-P, ex-K, ex-Ca, and ex-Mg), the combined use of vis-NIR and XRF sensors using at least one of the six data fusion approaches improved the accuracy of the predictions (with RI ranging from 1 to 21%). In general, the LS3 model averaging approach stood out as the data fusion method with the greatest number of attributes with positive RI (six attributes; namely, clay, CEC, pH, ex-P, ex-K, and ex-Mg). Meanwhile, no single approach was capable of exploiting the synergism between sensors for all attributes of interest, suggesting that the selection of the best data fusion approach should be attribute-specific. The results presented in this work evidenced the complementarity of XRF and vis-NIR sensors to predict fertility attributes in tropical soils, and encourage further research to find a generalized method of data fusion of both sensors data.


2019 ◽  
Vol 19 (10) ◽  
pp. 1673-1687 ◽  
Author(s):  
Yue Qiu ◽  
Yu Ren ◽  
Tian Xie

Econometrica ◽  
2007 ◽  
Vol 75 (4) ◽  
pp. 1175-1189 ◽  
Author(s):  
Bruce E. Hansen

2021 ◽  
Vol 37 (3) ◽  
pp. 495-509
Author(s):  
Xin-min Li ◽  
Guo-hua Zou ◽  
Xin-yu Zhang ◽  
Shang-wei Zhao

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