Model Averaging Estimators For Handling Persistent Predictors: Developing Persistence-Adjusted Model Averaging Estimators - Softcover

Ogbonna, Ahamuefula Ephraim; Olubusoye, Olusanya Elisa

 
9786208434595: Model Averaging Estimators For Handling Persistent Predictors: Developing Persistence-Adjusted Model Averaging Estimators
Softcover
ISBN 10: 6208434599 ISBN 13: 9786208434595
Verlag: LAP LAMBERT Academic Publishing, 2025

Inhaltsangabe

This book addresses the challenge of endogeneity induced by persistent predictors in linear regression models (LRM), an overlooked factor that increases model uncertainty. It aimed to develop model averaging estimators capable of accounting for the persistence property in predictors. The LRM was modified with persistence-adjustment terms, designed to correct for endogeneity by incorporating first-differences of the predictors. Two estimators, Modified Bayesian Model Averaging (MBMA) and Modified Weighted-Average Least Squares (MWALS), are proposed; and compared with existing variants — Bayesian Model Averaging (BMA), Weighted-Average Least Squares (WALS), and Ordinary Least Squares (OLS) — through Monte Carlo simulations under various persistence scenarios (none, low-transient, high-transient, and permanent). Performance was evaluated using metrics like Absolute Bias, Relative Efficiency, Posterior Inclusion Probability, and Relative Root Mean Square Error. Results highlight the importance of persistence-adjusted model averaging for improving estimation accuracy and forecast reliability in models with persistent predictors; and their characteristic sample sample properties.

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Über die Autorin bzw. den Autor

Dr. Ogbonna, a statistician with over 9 years' experience, specializes in econometric modeling and empirical research. A CEAR fellow, he aids Nigerian economic policy through macroeconomic forecasts and has published in top journals. Prof. Olubusoye, a macroeconometric expert, consults globally and holds top academic and professional distinctions.

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Verlag
LAP LAMBERT Academic Publishing
Erscheinungsdatum
2025
Sprache
Englisch
ISBN 10 
6208434599
ISBN 13 
9786208434595
Einband
Taschenbuch
Anzahl der Seiten
216
Kontakt zum Hersteller
preigu GmbH & Co. KG
mail@preigu.de

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