Arbeitspapier
Best subset binary prediction
We consider a variable selection problem for the prediction of binary outcomes. We study the best subset selection procedure by which the explanatory variables are chosen by maximizing Manski (1975, 1985)'s maximum score type objective function subject to a constraint on the maximal number of selected variables. We show that this procedure can be equivalently reformulated as solving a mixed integer optimization (MIO) problem, which enables computation of the exact or an approximate solution with a definite approximation error bound. In terms of theoretical results, we obtain non- asymptotic upper and lower risk bounds when the dimension of potential covariates is possibly much larger than the sample size. Our upper and lower risk bounds are minimax rate-optimal when the maximal number of selected variables is fixed and does not increase with the sample size. We illustrate usefulness of the best subset binary prediction approach via Monte Carlo simulations and an empirical application of the work-trip transportation mode choice.
- Sprache
-
Englisch
- Erschienen in
-
Series: cemmap working paper ; No. CWP50/17
- Klassifikation
-
Wirtschaft
Model Evaluation, Validation, and Selection
Forecasting Models; Simulation Methods
Large Data Sets: Modeling and Analysis
- Thema
-
binary choice
maximum score estimation
best subset selection
l 0-constrained maximization
mixed integer optimization
minimaxoptimality
nite sample property
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Chen, Le-yu
Lee, Sokbae
- Ereignis
-
Veröffentlichung
- (wer)
-
Centre for Microdata Methods and Practice (cemmap)
- (wo)
-
London
- (wann)
-
2017
- DOI
-
doi:10.1920/wp.cem.2017.5017
- Handle
- Letzte Aktualisierung
-
20.09.2024, 08:21 MESZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Chen, Le-yu
- Lee, Sokbae
- Centre for Microdata Methods and Practice (cemmap)
Entstanden
- 2017
Ähnliche Objekte (12)
Identification of a competing risks model with unknown transformations of latent failure times
Estimating potential outcome distributions using local instrumental variables with an application to changes in college enrollment and wage inequality
Estimating potential outcome distributions using local instrumental variables with an application to changes in college enrollment and wage inequality
Estimating panel data duration models with censored data
Endogeneity quantile regression models: A control function approach
Characterization of the asymptotic distribution of semiparametric M-estimators
Does it matter who responded to the survey? Trends in the U.S. gender earnings gap revisited
Uniform confidence bands for functions estimated nonparametrically with instrumental variables
Uniform confidence bands for functions estimated nonparametrically with instrumental variables
Sparse quantile regression
Semiparametric estimation of a panel data proportional Hazards model with fixed effects
Ability, sorting and wage inequality
Identification of a competing risks model with unknown transformations of latent failure times
Estimating potential outcome distributions using local instrumental variables with an application to changes in college enrollment and wage inequality
Estimating potential outcome distributions using local instrumental variables with an application to changes in college enrollment and wage inequality
Estimating panel data duration models with censored data
Endogeneity quantile regression models: A control function approach
Characterization of the asymptotic distribution of semiparametric M-estimators
Does it matter who responded to the survey? Trends in the U.S. gender earnings gap revisited
Uniform confidence bands for functions estimated nonparametrically with instrumental variables
Uniform confidence bands for functions estimated nonparametrically with instrumental variables
Sparse quantile regression
Semiparametric estimation of a panel data proportional Hazards model with fixed effects
Ability, sorting and wage inequality
Identification of a competing risks model with unknown transformations of latent failure times
Estimating potential outcome distributions using local instrumental variables with an application to changes in college enrollment and wage inequality
Estimating potential outcome distributions using local instrumental variables with an application to changes in college enrollment and wage inequality
Estimating panel data duration models with censored data
Endogeneity quantile regression models: A control function approach
Characterization of the asymptotic distribution of semiparametric M-estimators
Does it matter who responded to the survey? Trends in the U.S. gender earnings gap revisited
Uniform confidence bands for functions estimated nonparametrically with instrumental variables
Uniform confidence bands for functions estimated nonparametrically with instrumental variables
Sparse quantile regression
Semiparametric estimation of a panel data proportional Hazards model with fixed effects