在回归模型中,不受限制的斯坦规则估计器的MSE优越性,可能存在结构断裂
Haifeng Xu1,2, Akio Namba3
1Department of Statistics, School of Economics, Xiamen University, Xiamen, People's Republic of China.
Journal of applied statistics
|November 7, 2024
概括
这项研究研究了带有结构断裂的线性回归. 无限制的正收缩估计器 (PSR) 显示出优越的平均平方误差 (MSE) 性能,即使没有破裂.
科学领域:
- 计量经济学 计量经济学
- 统计建模 统计建模
背景情况:
- 线性回归模型被广泛使用,但可能对结构断裂敏感.
- 估计具有潜在结构破裂的模型需要强大的方法.
研究的目的:
- 为了研究具有已知的结构断点的线性回归模型的不同估计器的平均平方误差 (MSE) 性能.
- 为了比较受限制和不受限制的估计器,包括普通最小平方 (OLS),斯坦式收缩回归 (SR) 和正收缩回归 (PSR).
主要方法:
- 对受限制的SR和PSR估计器准确的MSE公式的分析推导.
- 在不同的参数设置下,在各种估计器中比较MSE性能.
主要成果:
- 不受限制的SR估计器可以超过受限制的SR估计器,即使限制 (没有结构断裂) 正确.
- 无限制的PSR估计器在广泛的参数空间中显示出最佳的MSE性能.
结论:
- 推使用无限制的PSR估计器,因为它具有强大的性能,不管是否存在结构断裂.
- 这种估计器提供了优势,即使考虑到没有结构性破坏的可能性.
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