Multi-Objective Frequentistic Model Averaging with an Application to Economic Growth

Thanasis Stengos, Stelios Arvanitis (), Mehmet Pinar and Nikolas Topaloglou ()
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Stelios Arvanitis: Athens University
Nikolas Topaloglou: Athens University

No 2401, Working Papers from University of Guelph, Department of Economics and Finance

Abstract: In the Frequentistic Model Averaging framework and within a linear model background, we consider averaging methodologies that extend the analysis of both the generalized Jacknife Model Averaging (JMA) and the Mallows Model Averaging (MMA) criteria in a multi-objective setting. We consider an esti­mator arising from a stochastic dominance perspective. We also consider aver­aging estimators that emerge from the minimization of several scalarizations of the vector criterion consisting of both the MMA and the JMA criteria as well as an estimator that can be represented as a Nash bargaining solution between the competing scalar criteria. We derive the limit theory of the esti­mators under both a correct specification and a global misspecification frame­work. Characterizations of the averaging estimators introduced in the context of conservative optimization are also provided. Monte Carlo experiments sug­gest that the averaging estimators proposed here occasionally provide with bias and/or MSE/MAE reductions. An empirical application using data from growth theory suggests that our model averaging methods assign relatively higher weights towards the traditional Solow type growth variables, yet they do not seem to exclude regressors that underpin the importance of factors like geography or institutions.

Keywords: frequentistic model averaging; Jacknife MA; Mallows MA; multi­objective optimization; stochastic dominance; approximate bound; £P-scalarization; Nash bargaining solution; growth regressions; core regressors; auxiliary regres­sors. (search for similar items in EconPapers)
JEL-codes: C51 C52 (search for similar items in EconPapers)
Pages: 36 pages
Date: 2024
New Economics Papers: this item is included in nep-ecm and nep-inv
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Persistent link: https://EconPapers.repec.org/RePEc:gue:guelph:2024-01

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