Model Selection and Model Averaging in Nonparametric Instrumental Variables Models
2015/01/22
研討會日期 : 2015-01-22
時間 : 14:30
主講人 : Prof. Chu-An Liu
主持人 : Professor Yu-Chin Hsu
地點 : Conference Room B110
演講者簡介 : Professor Liu received his Ph.D. in Economics from University of Wisconsin-Madison in 2012. He is currently a Visiting Assistant Professor at National University of Singapore. His research fields are Econometric Theory, and Applied Econometrics. He is applying for a position of the Institute of Economics, AS now.
演講摘要 : This paper considers the problem of choosing the regularization parameter and the smoothing parameter in nonparametric instrumental variables estimation. We propose a simple Mallows’ Cp-type criterion to select these two parameters simultaneously. We show that the proposed selection criterion is optimal in the sense that the selected estimate asymptotically achieves the lowest possible mean squared error among all candidates. To account for model uncertainty, we introduce a new model averaging estimator for nonparametric instrumental variables regressions. We propose a Mallows criterion for the weight selection and demonstrate its asymptotic optimality. Monte Carlo simulations show that both selection and averaging methods generally achieve lower root mean squared error than other existing methods. The proposed methods are applied to two empirical examples, the effect of class size question and Engel curve.
