Focused information criteria, model selection, and model averaging in a Tobit model with a nonzero threshold

doi:10.1198/jbes.2011.10075

科研成果详情

题名	Focused information criteria, model selection, and model averaging in a Tobit model with a nonzero threshold
作者	Zhang，Xinyu 1; Wan，Alan T.K.2; Zhou，Sherry Z.2
发表日期	2012
发表期刊	Journal of Business and Economic Statistics
ISSN/eISSN	0735-0015
卷号	30 期号:1 页码:132-142
摘要	Claeskens and Hjort (2003) have developed a focused information criterion (FIC) for model selection that selects different models based on different focused functions with those functions tailored to the parameters singled out for interest. Hjort and Claeskens (2003) also have presented model averaging as an alternative to model selection, and suggested a local misspecification framework for studying the limiting distributions and asymptotic risk properties of post-model selection and model average estimators in parametric models. Despite the burgeoning literature on Tobit models, little work has been done on model selection explicitly in the Tobit context. In this article we propose FICs for variable selection allowing for such measures as mean absolute deviation, mean squared error, and expected expected linear exponential errors in a type I Tobit model with an unknown threshold. We also develop a model average Tobit estimator using values of a smoothed version of the FIC as weights. We study the finite-sample performance of model selection and model average estimators resulting from various FICs via a Monte Carlo experiment, and demonstrate the possibility of using a model screening procedure before combining the models. Finally, we present an example from a well-known study on married women's working hours to illustrate the estimation methods discussed. This article has supplementary material online. © 2012 American Statistical Association.
关键词	Backward elimination Censored regression LINEX errors Local misspecification Mean absolute deviation Mean squared error Model screening Monte carlo
DOI	10.1198/jbes.2011.10075
URL	查看来源
语种	英语English
Scopus入藏号	2-s2.0-84863179989
引用统计	被引频次：66[WOS] [WOS记录] [WOS相关记录]
文献类型	期刊论文
条目标识符	https://repository.uic.edu.cn/handle/39GCC9TT/7756
专题	个人在本单位外知识产出
通讯作者	Zhang，Xinyu
作者单位	1.Academy of Mathematics and Systems Science,Chinese Academy of Sciences,Beijing 100190,China 2.Department of Management Sciences,City University of Hong Kong,Kowloon,Hong Kong
推荐引用方式 GB/T 7714	Zhang，Xinyu,Wan，Alan T.K.,Zhou，Sherry Z. Focused information criteria, model selection, and model averaging in a Tobit model with a nonzero threshold[J]. Journal of Business and Economic Statistics, 2012, 30(1): 132-142.
APA	Zhang，Xinyu, Wan，Alan T.K., & Zhou，Sherry Z. (2012). Focused information criteria, model selection, and model averaging in a Tobit model with a nonzero threshold. Journal of Business and Economic Statistics, 30(1), 132-142.
MLA	Zhang，Xinyu,et al."Focused information criteria, model selection, and model averaging in a Tobit model with a nonzero threshold". Journal of Business and Economic Statistics 30.1(2012): 132-142.