Factor model averaging quantile regression and simulation study

Authors:
Zhimeng Sun
Affiliations:
School of Statistics, Central University of Finance and Economics, Beijing, P.R. China
Venue:
ICICA'12 Proceedings of the Third international conference on Information Computing and Applications
Year:
2012

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Abstract

In this paper, a model averaging approach is developed for the linear factor regression model in light of smoothed focused information criterion. With respect to factors, a frequentist model averaging estimation of the regression parameter is proposed based on quantile regression techniques, and the model averaging estimator thus is nonsensitive to outliers and robust. We show that the asymptotic properties of the proposed estimator is asymptotically normal and root-n consistent. A simulation study is conducted to investigate the finite properties of the proposed estimator.