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Generalized Cp Model Averaging for Heteroskedastic Models
http://hdl.handle.net/10252/4544
http://hdl.handle.net/10252/4544ca9fbc89-48fe-4daf-bace-f3dafa7578df
名前 / ファイル | ライセンス | アクション |
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DP_139.pdf (128.4 kB)
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Item type | テクニカルレポート / Technical Report(1) | |||||
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公開日 | 2011-04-27 | |||||
タイトル | ||||||
タイトル | Generalized Cp Model Averaging for Heteroskedastic Models | |||||
言語 | ||||||
言語 | eng | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | Model Averaging | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | Model Selection | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | Asymptotic Optimality | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | Mallows’ Cp | |||||
キーワード | ||||||
主題Scheme | Other | |||||
主題 | Heteroskedastic error | |||||
資源タイプ | ||||||
資源タイプ識別子 | http://purl.org/coar/resource_type/c_18gh | |||||
資源タイプ | technical report | |||||
著者 |
Liu, Qingfeng
× Liu, Qingfeng |
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著者別名 | ||||||
姓名 | 劉, 慶豊 | |||||
書誌情報 |
Discussion paper series 巻 139, p. 1-20, 発行日 2011-04-20 |
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出版者 | ||||||
出版者 | 小樽商科大学ビジネス創造センター | |||||
テキストバージョン | ||||||
出版タイプ | VoR | |||||
出版タイプResource | http://purl.org/coar/version/c_970fb48d4fbd8a85 | |||||
日本十進分類法 | ||||||
主題Scheme | NDC | |||||
主題 | 331.19 | |||||
NIIサブジェクト | ||||||
主題Scheme | Other | |||||
主題 | 経済学 | |||||
抄録 | ||||||
内容記述タイプ | Abstract | |||||
内容記述 | This paper proposes a model averaging method, the generalized Mallows’ Cp (GC) method, which works well for heteroskedastic models. Under some regularity conditions, we provide a feasible form of the GC method and show that the GC method has asymptotic optimality not only as a model averaging method but also as a model selection method for heteroskedastic models. We perform some Monte Carlo studies to investigate the small sample properties of the GC method. The simulation results show that our method works well and performs better than alternative methods. |