• 论文 •

### 广义矩估计模型平均

1. 青岛大学数学与统计学院, 青岛   266071
• 出版日期:2018-07-25 发布日期:2018-10-12

WANG Weiwei,ZHANG Qi,LI Xinmin. GMM-Based Model Averaging Method[J]. Journal of Systems Science and Mathematical Sciences, 2018, 38(7): 801-812.

### GMM-Based Model Averaging Method

WANG Weiwei ,ZHANG Qi ,LI Xinmin

1. School of Mathematics and Statistics, Qingdao University, Qingdao 266071
• Online:2018-07-25 Published:2018-10-12

Model averaging has become a hot topic in the field of statistics and econometrics, with its robustness and loss of less useful information. It has wide applications in many fields such as economics, finance, biology and medicine. However, how to select weights is the most important question in the theoretical research of the model average. As we all know, existing model average methods are based on the least square estimate mainly, and most of them are weighted by smoothed AIC, smoothed BIC and the minimization of Mallow criteria. The different work of this paper is that minimizing the estimation of asymptotic variance of estimator for interesting parameter to get the weights is proposed under the generalized method of moments (GMM). This method could make the average estimate more stable. The simulation experiments show that the risk of GMM model average estimator is relatively low compared with those based on S-AIC, S-BIC and MMA.

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