Optimal Model Averaging Estimation for Partially Linear Models
32 Pages Posted: 8 Apr 2017
Date Written: November 5, 2015
This article studies optimal model averaging for partially linear models with heteroscedasticity. A Mallows-type criterion is proposed to choose the weight. The resulting model averaging estimator is proved to be asymptotically optimal under some regularity conditions. Simulation experiments show that the proposed model averaging method is superior to commonly-used model selection and averaging methods. The proposed procedure is further applied to study Japan’s sovereign credit default swap spreads.
Keywords: Asymptotic optimality, Heteroscedasticity, Model averaging, Partially linear model
JEL Classification: C52, C14, H63
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