arXiv subjects

Wendun Wang

Publications and source records attributed to Wendun Wang.

6 recordsLinked to original sources

arXiv2025

A theoretical comparison of weight constraints in forecast combination and model averaging

Forecast combination and model averaging have become popular tools in forecasting and prediction, both of which combine a set of candidate estimates with certain weights and are often shown to outperform single estimates. A data-driven method to determine combination/averaging weights typically optimizes a criterion under certain weight constraints. While a large number of studies have been devoted to developing and comparing various weight choice criteria, the role of weight constraints on the properties of combination forecasts is relatively less understood, and the use of various constraints in practice is also rather arbitrary. In this study, we summarize prevalent weight constraints used in the literature, and theoretically and numerically compare how they influence the properties of the combined forecast. Our findings not only provide a comprehensive understanding on the role of various weight constraints but also practical guidance for empirical researchers how to choose relevant constraints based on prior information and targets.

math.ST↗

arXiv2025

Prediction Intervals for Model Averaging

A rich set of frequentist model averaging methods has been developed, but their applications have largely been limited to point prediction, as measuring prediction uncertainty in general settings remains an open problem. In this paper we propose prediction intervals for model averaging based on conformal inference. These intervals cover out-of-sample realizations of the outcome variable with a pre-specified probability, providing a way to assess predictive uncertainty beyond point prediction. The framework allows general model misspecification and applies to averaging across multiple models that can be nested, disjoint, overlapping, or any combination thereof, with weights that may depend on the estimation sample. We establish coverage guarantees under two sets of assumptions: exact finite-sample validity under exchangeability, relevant for cross-sectional data, and asymptotic validity under stationarity, relevant for time-series data. We first present a benchmark algorithm and then introduce a locally adaptive refinement and split-sample procedures that broaden applicability. The methods are illustrated with a cross-sectional application to real estate appraisal and a time-series application to equity premium forecasting.

econ.EM↗

arXiv2025

Recovering latent linkage structures and spillover effects with structural breaks in panel data models

This paper introduces a framework to analyze time-varying spillover effects in panel data. We consider panel models where a unit's outcome depends not only on its own characteristics (private effects) but also on the characteristics of other units (spillover effects). The linkage of units is allowed to be latent and may shift at an unknown breakpoint. We propose a novel procedure to estimate the breakpoint, linkage structure, spillover and private effects. We address the high-dimensionality of spillover effect parameters using penalized estimation, and estimate the breakpoint with refinement. We establish the super-consistency of the breakpoint estimator, ensuring that inferences about other parameters can proceed as if the breakpoint were known. The private effect parameters are estimated using a double machine learning method. The proposed method is applied to estimate the cross-country R&D spillovers, and we find that the R&D spillovers become sparser after the financial crisis.

econ.EM↗

arXiv2022

Asymptotic Properties of the Synthetic Control Method

This paper provides new insights into the asymptotic properties of the synthetic control method (SCM). We show that the synthetic control (SC) weight converges to a limiting weight that minimizes the mean squared prediction risk of the treatment-effect estimator when the number of pretreatment periods goes to infinity, and we also quantify the rate of convergence. Observing the link between the SCM and model averaging, we further establish the asymptotic optimality of the SC estimator under imperfect pretreatment fit, in the sense that it achieves the lowest possible squared prediction error among all possible treatment effect estimators that are based on an average of control units, such as matching, inverse probability weighting and difference-in-differences. The asymptotic optimality holds regardless of whether the number of control units is fixed or divergent. Thus, our results provide justifications for the SCM in a wide range of applications. The theoretical results are verified via simulations.

econ.EM↗

arXiv2022

Optimal model averaging for single-index models with divergent dimensions

This paper offers a new approach to address the model uncertainty in (potentially) divergent-dimensional single-index models (SIMs). We propose a model-averaging estimator based on cross-validation, which allows the dimension of covariates and the number of candidate models to increase with the sample size. We show that when all candidate models are misspecified, our model-averaging estimator is asymptotically optimal in the sense that its squared loss is asymptotically identical to that of the infeasible best possible averaging estimator. In a different situation where correct models are available in the model set, the proposed weighting scheme assigns all weights to the correct models in the asymptotic sense. We also extend our method to average regularized estimators and propose pre-screening methods to deal with cases with high-dimensional covariates. We illustrate the merits of our method via simulations and two empirical applications.

stat.ME↗

arXiv2018

Heterogeneous structural breaks in panel data models

This paper develops a new model and estimation procedure for panel data that allows us to identify heterogeneous structural breaks. We model individual heterogeneity using a grouped pattern. For each group, we allow common structural breaks in the coefficients. However, the number, timing, and size of these breaks can differ across groups. We develop a hybrid estimation procedure of the grouped fixed effects approach and adaptive group fused Lasso. We show that our method can consistently identify the latent group structure, detect structural breaks, and estimate the regression parameters. Monte Carlo results demonstrate the good performance of the proposed method in finite samples. An empirical application to the relationship between income and democracy illustrates the importance of considering heterogeneous structural breaks.

econ.EM↗