This paper consider penalized empirical loss minimization of convex loss functions with unknown non-linear target functions. Using the elastic net penalty we establish a finite sample oracle inequality which bounds the loss of our estimator from above with high probability. If the unknown target...

While variable selection and oracle inequalities for the estimation and prediction error have received considerable attention in the literature on high-dimensional models, very little work has been done in the area of testing and construction of confidence bands in high-dimensional models....

The problem of modeling housing prices has attracted considerable attention due to its importance in terms of households' wealth and in terms of public revenues through taxation. One of the main concerns raised in both the theoretical and the empirical literature is the existence of spatial...

With the aim of improving the quality of asymptotic distributional approximations for nonlinear functionals of nonparametric estimators, this paper revisits the large-sample properties of an important member of that class, namely a kernel-based weighted average derivative estimator. Asymptotic...

Economic theories are often fitted directly to data to avoid possible model selection biases. We show that embedding a theory model that specifies the correct set of m relevant exogenous variables, x{t}, within the larger set of m+k candidate variables, (x{t},w{t}), then selection over the...

Randomized experiments provide policy relevant treatment effects if there are no spillovers between participants and nonparticipants. We show that this assumption is violated for a Danish activation program for unemployed workers. Using a difference-in-difference model e show that the...

We evaluate the effects of wage subsidy programs for the disabled, in particular, their potential for welfare-loss reduction vs. deadweight loss creation. We do this in the context of the Danish Flexjob scheme, a large, nation-wide scheme that was implemented in 1998 and targeted towards...

This paper proposes (apparently) novel standard error formulas for the density-weighted average derivative estimator of Powell, Stock, and Stoker (1989). Asymptotic validity of the standard errors developed in this paper does not require the use of higher-order kernels and the standard errors...

We scrutinize the monthly realized stock-bond correlation based upon high frequency returns. In particular, we use a probit model to track the dynamics of the sign of the correlation relative to its various economic forces. The sign is predictable to a large extent with bond market liquidity...

This paper presents a new data-driven bandwidth selector compatible with the small bandwidth asymptotics developed in Cattaneo, Crump, and Jansson (2009) for density-weighted average derivatives. The new bandwidth selector is of the plug-in variety, and is obtained based on a mean squared error...