Frequentist model averaging for multinomial and ordered logit models

Research output: Journal Publications and Reviews (RGC: 21, 22, 62)21_Publication in refereed journal

13 Scopus Citations
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Original languageEnglish
Pages (from-to)118-128
Journal / PublicationInternational Journal of Forecasting
Issue number1
Online published4 Nov 2013
Publication statusPublished - Jan 2014


Multinomial and ordered Logit models are quantitative techniques which are used in a range of disciplines nowadays. When applying these techniques, practitioners usually select a single model using either information-based criteria or pretesting. In this paper, we consider the alternative strategy of combining models rather than selecting a single model. Our strategy of weight choice for the candidate models is based on the minimization of a plug-in estimator of the asymptotic squared error risk of the model average estimator. Theoretical justifications of this model averaging strategy are provided, and a Monte Carlo study shows that the forecasts produced by the proposed strategy are often more accurate than those produced by other common model selection and model averaging strategies, especially when the regressors are only mildly to moderately correlated and the true model contains few zero coefficients. An empirical example based on credit rating data is used to illustrate the proposed method. To reduce the computational burden, we also consider a model screening step that eliminates some of the very poor models before averaging. © 2013 International Institute of Forecasters.

Research Area(s)

  • Asymptotic squared error risk, Local mis-specification, Model screening, Monte Carlo, Plug-in estimator