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Full-Text Articles in Physical Sciences and Mathematics
Model Selection In Validation Sampling Data: An Asymptotic Likelihood-Based Lasso Approach, Chenlei Leng, Denis H. Y. Leung
Model Selection In Validation Sampling Data: An Asymptotic Likelihood-Based Lasso Approach, Chenlei Leng, Denis H. Y. Leung
Research Collection School Of Economics
We propose an asymptotic likelihood-based LASSO approach for model selection in regression analysis when data are subject to validation sampling. The method makes use of an initial estimator of the regression coefficients and their asymptotic covariance matrix to form an asymptotic likelihood. This ``working'' objective function facilitates the formulation of the LASSO and the implementation of a fast algorithm. Our method circumvents the need to use a likelihood set-up that requires full distributional assumptions about the data. We show that the resulting estimator is consistent in model selection and that the method has lower prediction errors than a model that …
Estimation And Forecasting Of Dynamic Conditional Covariance: A Semiparametric Multivariate Model, Xiangdong Long, Liangjun Su, Aman Ullah
Estimation And Forecasting Of Dynamic Conditional Covariance: A Semiparametric Multivariate Model, Xiangdong Long, Liangjun Su, Aman Ullah
Research Collection School Of Economics
We propose a semiparametric conditional covariance (SCC) estimator that combines the first-stage parametric conditional covariance (PCC) estimator with the second-stage nonparametric correction estimator in a multiplicative way. We prove the asymptotic normality of our SCC estimator, propose a nonparametric test for the correct specification of PCC models, and study its asymptotic properties. We evaluate the finite sample performance of our test and SCC estimator and compare the latter with that of PCC estimator, purely nonparametric estimator, and Hafner, Dijk, and Franses’s (2006) estimator in terms of mean squared error and Value-at-Risk losses via simulations and real data analyses.