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Full-Text Articles in Economics
Jackknife Model Averaging For Quantile Regressions, Xun Lu, Liangjun Su
Jackknife Model Averaging For Quantile Regressions, Xun Lu, Liangjun Su
Research Collection School Of Economics
In this paper, we consider the problem of frequentist model averaging for quantile regression (QR) when all the M models under investigation are potentially misspecified and the number of parameters in some or all models is diverging with the sample size n. To allow for the dependence between the error terms and the regressors in the QR models, we propose a jackknife model averaging (JMA) estimator which selects the weights by minimizing a leave-one-out cross-validation criterion function and demonstrate that the jackknife selected weight vector is asymptotically optimal in terms of minimizing the out-of-sample final prediction error among the given …
Identifying Latent Structures In Panel Data, Liangjun Su, Zhentao Shi, Peter C. B. Phillips
Identifying Latent Structures In Panel Data, Liangjun Su, Zhentao Shi, Peter C. B. Phillips
Research Collection School Of Economics
This paper provides a novel mechanism for identifying and estimating latent group structures in panel data using penalized regression techniques. We focus on linear models where the slope parameters are heterogeneous across groups but homogenous within a group and the group membership is unknown. Two approaches are considered — penalized least squares (PLS) for models without endogenous regressors, and penalized GMM (PGMM) for models with endogeneity. In both cases we develop a new variant of Lasso called classifier-Lasso (C-Lasso) that serves to shrink individual coefficients to the unknown group-specific coefficients. C-Lasso achieves simultaneous classification and consistent estimation in a single …