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Jackknife model averaging for quantile regressions

Author

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  • Lu, Xun
  • Su, Liangjun
Abstract
In this paper we consider model averaging for quantile regressions (QR) when all models under investigation are potentially misspecified and the number of parameters is diverging with the sample size. To allow for the dependence between the error terms and 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 its asymptotic optimality in terms of minimizing the out-of-sample final prediction error. We conduct simulations to demonstrate the finite-sample performance of our estimator and compare it with other model selection and averaging methods. We apply our JMA method to forecast quantiles of excess stock returns and wages.

Suggested Citation

  • Lu, Xun & Su, Liangjun, 2015. "Jackknife model averaging for quantile regressions," Journal of Econometrics, Elsevier, vol. 188(1), pages 40-58.
    • Handle: RePEc:eee:econom:v:188:y:2015:i:1:p:40-58
    DOI: 10.1016/j.jeconom.2014.11.005
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    More about this item

    Keywords

    Final prediction error; High dimensionality; Model averaging; Model selection; Misspecification; Quantile regression;
    All these keywords.

    JEL classification:

    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection

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