Focused information criterion and model averaging with generalized rank regression

Qingzhao Zhang, Xiaogang Duan and Shuangge Ma

Statistics & Probability Letters, 2017, vol. 122, issue C, 11-19

Abstract: Generalized rank regression, which is a class of weighted rank regression with weights based on factor space, provides a powerful tool for conducting robust estimation. In this article, we first establish the asymptotic properties of generalized rank regression under local model misspecification. We then apply the generalized rank regression to the focus information criterion and frequentist model averaging and establish their properties.

Keywords: Focus information criterion; Frequentist model averaging; Generalized rank regression; Local model misspecification (search for similar items in EconPapers)
Date: 2017
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DOI: 10.1016/j.spl.2016.10.020

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