Parametric and Nonparametric Frequentist Model Selection and Model Averaging
This paper presents recent developments in model selection and model averaging for parametric and nonparametric models. While there is extensive literature on model selection under parametric settings, we present recently developed results in the context of nonparametric models. In applications, est...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2013-09-01
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| Series: | Econometrics |
| Subjects: | |
| Online Access: | http://www.mdpi.com/2225-1146/1/2/157 |
| _version_ | 1798034838380347392 |
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| author | Aman Ullah Huansha Wang |
| author_facet | Aman Ullah Huansha Wang |
| author_sort | Aman Ullah |
| collection | DOAJ |
| description | This paper presents recent developments in model selection and model averaging for parametric and nonparametric models. While there is extensive literature on model selection under parametric settings, we present recently developed results in the context of nonparametric models. In applications, estimation and inference are often conducted under the selected model without considering the uncertainty from the selection process. This often leads to inefficiency in results and misleading confidence intervals. Thus an alternative to model selection is model averaging where the estimated model is the weighted sum of all the submodels. This reduces model uncertainty. In recent years, there has been significant interest in model averaging and some important developments have taken place in this area. We present results for both the parametric and nonparametric cases. Some possible topics for future research are also indicated. |
| first_indexed | 2024-04-11T20:49:58Z |
| format | Article |
| id | doaj.art-40ca104589a547cebf9d5d50d4da7f39 |
| institution | Directory Open Access Journal |
| issn | 2225-1146 |
| language | English |
| last_indexed | 2024-04-11T20:49:58Z |
| publishDate | 2013-09-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Econometrics |
| spelling | doaj.art-40ca104589a547cebf9d5d50d4da7f392022-12-22T04:03:52ZengMDPI AGEconometrics2225-11462013-09-011215717910.3390/econometrics1020157Parametric and Nonparametric Frequentist Model Selection and Model AveragingAman UllahHuansha WangThis paper presents recent developments in model selection and model averaging for parametric and nonparametric models. While there is extensive literature on model selection under parametric settings, we present recently developed results in the context of nonparametric models. In applications, estimation and inference are often conducted under the selected model without considering the uncertainty from the selection process. This often leads to inefficiency in results and misleading confidence intervals. Thus an alternative to model selection is model averaging where the estimated model is the weighted sum of all the submodels. This reduces model uncertainty. In recent years, there has been significant interest in model averaging and some important developments have taken place in this area. We present results for both the parametric and nonparametric cases. Some possible topics for future research are also indicated.http://www.mdpi.com/2225-1146/1/2/157nonparametricmodel selectionmodel averaging |
| spellingShingle | Aman Ullah Huansha Wang Parametric and Nonparametric Frequentist Model Selection and Model Averaging Econometrics nonparametric model selection model averaging |
| title | Parametric and Nonparametric Frequentist Model Selection and Model Averaging |
| title_full | Parametric and Nonparametric Frequentist Model Selection and Model Averaging |
| title_fullStr | Parametric and Nonparametric Frequentist Model Selection and Model Averaging |
| title_full_unstemmed | Parametric and Nonparametric Frequentist Model Selection and Model Averaging |
| title_short | Parametric and Nonparametric Frequentist Model Selection and Model Averaging |
| title_sort | parametric and nonparametric frequentist model selection and model averaging |
| topic | nonparametric model selection model averaging |
| url | http://www.mdpi.com/2225-1146/1/2/157 |
| work_keys_str_mv | AT amanullah parametricandnonparametricfrequentistmodelselectionandmodelaveraging AT huanshawang parametricandnonparametricfrequentistmodelselectionandmodelaveraging |