UNIFORM ASYMPTOTICS AND CONFIDENCE REGIONS BASED ON THE ADAPTIVE LASSO WITH PARTIALLY CONSISTENT TUNING

DOI10.1017/S0266466621000128arXiv1810.02665OpenAlexW3153728423MaRDI QIDQ6145540

Ulrike Schneider, Unnamed Author

Publication date: 9 January 2024

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1810.02665

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites Work

• Unnamed Item
• Unnamed Item
• The Adaptive Lasso and Its Oracle Properties
• Oracle inequalities for high dimensional vector autoregressions
• Hybrid generalized empirical likelihood estimators: instrument selection with adaptive lasso
• Confidence sets based on sparse estimators are necessarily large
• On the distribution of the adaptive LASSO estimator
• Confidence sets based on penalized maximum likelihood estimators in Gaussian regression
• CONSISTENT AND CONSERVATIVE MODEL SELECTION WITH THE ADAPTIVE LASSO IN STATIONARY AND NONSTATIONARY AUTOREGRESSIONS
• ADAPTIVE LASSO-TYPE ESTIMATION FOR MULTIVARIATE DIFFUSION PROCESSES
• Adaptive LASSO estimation for ARDL models with GARCH innovations

This page was built for publication: UNIFORM ASYMPTOTICS AND CONFIDENCE REGIONS BASED ON THE ADAPTIVE LASSO WITH PARTIALLY CONSISTENT TUNING