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Tractable bayesian estimation of smooth transition vector autoregressive models 平稳过渡向量自回归模型的可操作贝叶斯估计
The Econometrics Journal Pub Date : 2024-05-16 DOI: 10.1093/ectj/utae009
Martin Bruns, Michele Piffer
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引用次数: 0
Correction to: Causal inference and data fusion in econometrics 更正：计量经济学中的因果推断和数据融合
The Econometrics Journal Pub Date : 2024-04-03 DOI: 10.1093/ectj/utae008
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引用次数: 0
Using a Satisficing Model of Experimenter Decision-Making to Guide Finite-Sample Inference for Compromised Experiments. 利用实验者决策的满意模型指导折衷实验的有限样本推理。
IF 1.9
The Econometrics Journal Pub Date : 2021-05-01 Epub Date: 2021-06-29 DOI: 10.1093/ectj/utab009
James J Heckman, Ganesh Karapakula
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引用次数: 3
Model averaging estimation for high-dimensional covariance matrices with a network structure. 具有网络结构的高维协方差矩阵的模型平均估计。
IF 1.9
The Econometrics Journal Pub Date : 2020-09-29 eCollection Date: 2021-01-01 DOI: 10.1093/ectj/utaa030
Rong Zhu, Xinyu Zhang, Yanyuan Ma, Guohua Zou
{"title":"Model averaging estimation for high-dimensional covariance matrices with a network structure.","authors":"Rong Zhu,&nbsp;Xinyu Zhang,&nbsp;Yanyuan Ma,&nbsp;Guohua Zou","doi":"10.1093/ectj/utaa030","DOIUrl":"https://doi.org/10.1093/ectj/utaa030","url":null,"abstract":"<p><p>In this paper, we develop a model averaging method to estimate a high-dimensional covariance matrix, where the candidate models are constructed by different orders of polynomial functions. We propose a Mallows-type model averaging criterion and select the weights by minimizing this criterion, which is an unbiased estimator of the expected in-sample squared error plus a constant. Then, we prove the asymptotic optimality of the resulting model average covariance estimators. Finally, we conduct numerical simulations and a case study on Chinese airport network structure data to demonstrate the usefulness of the proposed approaches.</p>","PeriodicalId":514887,"journal":{"name":"The Econometrics Journal","volume":"24 1","pages":"177-197"},"PeriodicalIF":1.9,"publicationDate":"2020-09-29","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1093/ectj/utaa030","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"25500527","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
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