Jackknife Model Averaging for Composite Quantile Regression

Abstract: Model averaging considers the model uncertainty and is an alternative to model selection. In this paper, we propose a frequentist model averaging estimator for composite quantile regressions. In recent years, research on these topics has been added as a separate method, but no study has investigated them in combination. We apply a delete-one cross-validation method to estimate the model weights, and prove that the jackknife model averaging estimator is asymptotically optimal in terms of minimizing out-of-sample composite final prediction error. Simulations are conducted to demonstrate the good finite sample properties of our estimator and compare it with commonly used model selection and averaging methods. The proposed method is applied to the analysis of the stock returns data and the wage data and performs well.