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Generalized Least Squares Model Averaging and Confidence Set around Model Averaged Estimate

Research Project

Project/Area Number 25780148
Research Category

Grant-in-Aid for Young Scientists (B)

Allocation TypeMulti-year Fund
Research Field Economic statistics
Research InstitutionOtaru University of Commerce

Principal Investigator

LIU QINGFENG  小樽商科大学, 商学部, 教授 (60378958)

Project Period (FY) 2013-04-01 – 2016-03-31
Project Status Completed (Fiscal Year 2015)
Budget Amount *help
¥2,990,000 (Direct Cost: ¥2,300,000、Indirect Cost: ¥690,000)
Fiscal Year 2015: ¥1,040,000 (Direct Cost: ¥800,000、Indirect Cost: ¥240,000)
Fiscal Year 2014: ¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
Fiscal Year 2013: ¥1,040,000 (Direct Cost: ¥800,000、Indirect Cost: ¥240,000)
KeywordsModel Averaging / Model Selection / Optimality / Information Criterion / Confidence Set / GMM / OLS / GLS / Forecast / Tobin's Q
Outline of Final Research Achievements

In order to reduce the risk of estimation, we proposed several model averaging methods. The asymptotic properties of those methods were investigated and simulation studies were conducted. The simulation results show that our methods work well and performs better than alternative methods in finite samples. Those methods can be widely applied to various fields, including high dimensional data analysis, macroeconomic and financial market forecasting and forecasting for natural science.
We proposed two model-averaging method, the heteroscedasticity-robust method (HRCp) and the generalized least squares model averaging method (GLSMA) for linear regression models with heteroscedastic errors. Moreover, we constructed a confidence set around model averaging estimate, and conducted simulation studies to check its finite sample properties.

Report

(4 results)
  • 2015 Annual Research Report   Final Research Report ( PDF )
  • 2014 Research-status Report
  • 2013 Research-status Report
  • Research Products

    (21 results)

All 2016 2015 2014 2013 Other

All Journal Article (4 results) (of which Peer Reviewed: 3 results,  Open Access: 2 results,  Acknowledgement Compliant: 1 results) Presentation (15 results) (of which Int'l Joint Research: 1 results,  Invited: 7 results) Remarks (2 results)

  • [Journal Article] Generalized least squares model averaging2016

    • Author(s)
      Qingfeng Liu, Ryo Okui and Arihiro Yoshimura
    • Journal Title

      Econometric Reviews

      Volume: 未定 Pages: 1-54

    • Related Report
      2014 Research-status Report
    • Peer Reviewed / Open Access / Acknowledgement Compliant
  • [Journal Article] Bootstrap-based Selection for Instrumental Variables Model2015

    • Author(s)
      Wenjie Wang and Qingfeng Liu
    • Journal Title

      Economics Bulletin

      Volume: 35 Pages: 1886-1896

    • Related Report
      2015 Annual Research Report
    • Peer Reviewed / Open Access
  • [Journal Article] Heteroscedasticity-Robust Cp Model Averaging2013

    • Author(s)
      Liu, Qingfeng and Okui, Ryo
    • Journal Title

      Econometrics Journal

      Volume: 16(3) Issue: 3 Pages: 463-472

    • DOI

      10.1111/ectj.12009

    • Related Report
      2013 Research-status Report
    • Peer Reviewed
  • [Journal Article] Generalized Least Squares Model Averaging2013

    • Author(s)
      Qingfeng Liu, Ryo Okui and Arihiro Yoshimura
    • Journal Title

      SSRN working papers series, Available at SSRN: http://ssrn.com/abstract=2287602

      Volume: 0 Pages: 1-52

    • DOI

      10.2139/ssrn.2287602

    • Related Report
      2013 Research-status Report
  • [Presentation] Predictive model averaging for unstable processes with many covariates2016

    • Author(s)
      Qingfeng Liu
    • Organizer
      The 2016 ICSA China Statistics Conference
    • Place of Presentation
      Qingdao, China
    • Year and Date
      2016-06-24
    • Related Report
      2015 Annual Research Report
    • Int'l Joint Research / Invited
  • [Presentation] Generalized Least Squares Model Averaging2016

    • Author(s)
      Qingfeng Liu
    • Organizer
      上海交通大学セミナー
    • Place of Presentation
      Shang Hai, China
    • Year and Date
      2016-05-05
    • Related Report
      2015 Annual Research Report
    • Invited
  • [Presentation] Generalized Least Squares Model Averaging2016

    • Author(s)
      Qingfeng Liu
    • Organizer
      Econometrics Seminar, Renmin University of China
    • Place of Presentation
      Renmin University of China
    • Year and Date
      2016-03-18
    • Related Report
      2015 Annual Research Report
    • Invited
  • [Presentation] An Adaptive Combination Method for Averaging OLS and GLS Estimators2015

    • Author(s)
      Qingfeng Liu
    • Organizer
      2015 ICSA China Statistics Conference
    • Place of Presentation
      Shanghai, China
    • Year and Date
      2015-07-06 – 2015-07-07
    • Related Report
      2014 Research-status Report
    • Invited
  • [Presentation] Bootstrap-based Selection for Instrumental Variables Model2014

    • Author(s)
      Qingfeng Liu
    • Organizer
      IMIP 2014 On Big data analysis and Innovational Information
    • Place of Presentation
      New Taipei City, Taiwan
    • Year and Date
      2014-10-23 – 2014-10-24
    • Related Report
      2014 Research-status Report
    • Invited
  • [Presentation] An Adaptive Combination Method for Averaging OLS and GLS Estimators2014

    • Author(s)
      Qingfeng Liu
    • Organizer
      Seminar in School of Economics, Renmin University of China
    • Place of Presentation
      Beijing, China
    • Year and Date
      2014-09-14
    • Related Report
      2014 Research-status Report
    • Invited
  • [Presentation] An Adaptive Combination Method for Averaging OLS and GLS Estimators2014

    • Author(s)
      Qingfeng Liu
    • Organizer
      The 68th European Meeting of the Econometric Society
    • Place of Presentation
      Toulouse, France
    • Year and Date
      2014-08-25 – 2014-08-29
    • Related Report
      2014 Research-status Report
  • [Presentation] Generalized Least Squares Model Averaging2014

    • Author(s)
      Qingfeng Liu
    • Organizer
      High Dimensional Statistical Analysis and Related Topics
    • Place of Presentation
      Waseda University
    • Related Report
      2013 Research-status Report
  • [Presentation] Generalized Least Squares Model Averaging2014

    • Author(s)
      Qingfeng Liu
    • Organizer
      IASSL International Conference 2014
    • Place of Presentation
      the Galadari Hotel, Colombo, Sri Lanka
    • Related Report
      2013 Research-status Report
    • Invited
  • [Presentation] Generalized Least Squares Model Averaging2013

    • Author(s)
      Qingfeng Liu
    • Organizer
      The 67th European Meeting of the Econometric Society
    • Place of Presentation
      University of Gothenburg
    • Related Report
      2013 Research-status Report
  • [Presentation] Generalized Least Squares Model Averaging2013

    • Author(s)
      Qingfeng Liu
    • Organizer
      Econometric Society Australasian Meeting 2013
    • Place of Presentation
      University of Sydney
    • Related Report
      2013 Research-status Report
  • [Presentation] Generalized Least Squares Model Averaging2013

    • Author(s)
      Arihiro Yoshimura
    • Organizer
      Econometric Society North American Summer Meeting 2013
    • Place of Presentation
      University of Southern California, Los Angeles
    • Related Report
      2013 Research-status Report
  • [Presentation] Generalized Least Squares Model Averaging2013

    • Author(s)
      Arihiro Yoshimura
    • Organizer
      日本経済学会春季大会
    • Place of Presentation
      富山大学
    • Related Report
      2013 Research-status Report
  • [Presentation] GMM Model Averaging for Conditional Moment Restrictions2013

    • Author(s)
      Wenjie Wang
    • Organizer
      KAKENHI Symposium,MEXT KAKENHI (A) No. 23244011. Recent Advances in Statistical Theory and Applications for High Dimensional Data Analysis and Related Topics
    • Place of Presentation
      小樽商科大学
    • Related Report
      2013 Research-status Report
  • [Presentation] Generalized Least Squares Model Averaging2013

    • Author(s)
      Qingfeng Liu
    • Organizer
      ハルビン工業大学セミナー
    • Place of Presentation
      ハルビン工業大学経済と管理学院
    • Related Report
      2013 Research-status Report
  • [Remarks] Selected Publications

    • URL

      http://www.otaru-uc.ac.jp/~qliu/publication.html

    • Related Report
      2015 Annual Research Report 2014 Research-status Report
  • [Remarks] Selected Publications

    • URL

      http://www.otaru-uc.ac.jp/~qliu/publication.html

    • Related Report
      2013 Research-status Report

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Published: 2014-07-25   Modified: 2019-07-29  

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