On the sparsity of Mallows model averaging estimator

Yang Feng, Qingfeng Liu () and Ryo Okui

Economics Letters, 2020, vol. 187, issue C

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.

Keywords: Sparsity; Model averaging; L1 penalty; Coordinate-wise descent algorithm (search for similar items in EconPapers)
JEL-codes: C51 C52 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:187:y:2020:i:c:s0165176519304653

DOI: 10.1016/j.econlet.2019.108916

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