On the sparsity of Mallows model averaging estimator

Yang Feng, Qingfeng Liu, Ryo Okui

Research output: Contribution to journalArticle

Abstract

We show that Mallows model averaging estimator proposed by Hansen (2007) can be written as a least squares estimation with a weighted L1 penalty and additional constraints. By exploiting this representation, we demonstrate that the weight vector obtained by this model averaging procedure has a sparsity property in the sense that a subset of models receives exactly zero weights. Moreover, this representation allows us to adapt algorithms developed to efficiently solve minimization problems with many parameters and weighted L1 penalty. In particular, we develop a new coordinate-wise descent algorithm for model averaging. Simulation studies show that the new algorithm computes the model averaging estimator much faster and requires less memory than conventional methods when there are many models.

Original languageEnglish (US)
Article number108916
JournalEconomics Letters
Volume187
DOIs
StatePublished - Feb 2020

    Fingerprint

Keywords

  • Coordinate-wise descent algorithm
  • L penalty
  • Model averaging
  • Sparsity

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics

Cite this