Consistency of averaged impulse response estimators in vector autoregressive models

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY

Accounts of Chemical Research Pub Date : 2024-02-13 DOI:10.1111/jtsa.12733

Jan Lohmeyer, Franz Palm, Jean-Pierre Urbain

引用次数: 0

Abstract

We show root-T consistency of the smoothed AIC and smoothed BIC model averaging estimators (sAIC, sBIC) of impulse response coefficients in stationary vector autoregressive models of finite lag order. We also show that there is not one unique way to define the sAIC and sBIC estimators, but that instead there is a whole class of each of these defined by a weight scaling factor that allows the averaging estimator to become more similar to either its model selection counterpart or the equal weights averaging estimator. We also show asymptotic validity of a bootstrap method for estimating the averaging estimators' distributions. Simulations illustrate the benefits of using sAIC instead of AIC estimators.

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向量自回归模型中平均脉冲响应估计器的一致性

我们证明了有限滞后阶静止向量自回归模型中脉冲响应系数的平滑 AIC 和平滑 BIC 模型平均估计器（sAIC、sBIC）的根 T 一致性。我们还证明，定义 sAIC 和 sBIC 估计数的方法并不唯一，而是存在着一整类由权重缩放因子定义的估计器，这些权重缩放因子可使平均估计器变得与其模型选择对应物或等权重平均估计器更加相似。我们还展示了用于估计平均估计器分布的自举法的渐近有效性。模拟说明了使用 sAIC 代替 AIC 估计器的好处。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Accounts of Chemical Research 化学-化学综合

CiteScore

31.40

自引率

1.10%

发文量

312

审稿时长

2 months

期刊介绍： Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.