汉青论坛第295期:11月20日孙玉莹助理研究员
(汉青经济与金融高级研究院发布于:2019-11-22 17:29:41)

汉青论坛第295期:1127孙玉莹助理研究员

本期主题:Time-varying Model Averaging

摘要:

Structural changes often occur in economics and finance due to changes in preferences, technologies, institutional arrangements, policies, crises, etc. Improving forecast accuracy of economic time series with structural changes is a long-standing problem. Model averaging aims at providing an insurance against selecting a poor forecast model. All existing model averaging approaches in the literature are designed with constant (non-time-varying) combination weights. Little attention has been paid to time-varying model averaging, which is more realistic in economics under structural changes. This paper proposes a novel model averaging estimator which selects optimal time-varying combination weights by minimizing a local jackknife criterion. It is shown that the proposed time-varying jackknife model averaging (TVJMA) estimator is asymptotically optimal in the sense of achieving the lowest possible local squared error loss in a class of time-varying model averaging estimators. Under a set of regularity assumptions, the TVJMA estimator is root-Th consistent. A simulation study and an empirical application highlight the merits of the proposed TVJMA estimator relative to a variety of popular estimators with constant model averaging weights and model selection.

报告人:孙玉莹助理研究员,  中国研究院数学与系统科学研究院

时间:   11月27日(周三) 12:15

地点:   明德主楼515教师交流室

诚邀各位老师参加。如果您有兴趣,请于11月26日前回复邮件liu.zhe AT ruc.edu.cn或电话联系,我们将为您预留座位。联系人:刘喆  62510919。

报告人简介:

Yuying Sun is an Assistant Professor at Academy of Mathematics and system Science, Chinese Academy of Science. She has earned her Ph.D. from the University of Chinese Academy of Sciences. Her work has been published at many top journals such as Journal of Econometrics, Journal of Management Science and Engineering, Journal of Systems Science & Complexity.

 


Copyright © 2005-2019 RUC.EDU.CN
地址:北京市海淀区中关村大街59号 邮编:100872 京公网安备110402430004号 京ICP备05066828号-1
Site designed by MONOKEROS & powered by Sina App Engine