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Distributional results for thresholding estimators in high-dimensional Gaussian regression models
Pötscher, Benedikt M.; Schneider, Ulrike - Volkswirtschaftliche Fakultät, … - 2011
We study the distribution of hard-, soft-, and adaptive soft-thresholding estimators within a linear regression model where the number of parameters k can depend on sample size n and may diverge with n. In addition to the case of known error-variance, we define and study versions of the...
Persistent link: https://www.econbiz.de/10009148008
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On the distribution of the adaptive LASSO estimator
Pötscher, Benedikt M.; Schneider, Ulrike - Volkswirtschaftliche Fakultät, … - 2007
We study the distribution of the adaptive LASSO estimator (Zou (2006)) in finite samples as well as in the large …-sample limit. The large-sample distributions are derived both for the case where the adaptive LASSO estimator is tuned to perform …' property of the adaptive LASSO estimator established in Zou 2006). Moreover, we also provide an impossibility result regarding …
Persistent link: https://www.econbiz.de/10005790270
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Confidence sets based on penalized maximum likelihood estimators
Pötscher, Benedikt M.; Schneider, Ulrike - Volkswirtschaftliche Fakultät, … - 2008
LASSO, adaptive LASSO, and hard-thresholding are analyzed. It is shown that symmetric intervals are the shortest. The length … based on the adaptive LASSO, which is larger than the length of the shortest interval based on the LASSO, which in turn is …
Persistent link: https://www.econbiz.de/10005026624
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Nonparametric and semiparametric regression model selection
Gao, Jiti; Tong, Howell - Volkswirtschaftliche Fakultät, … - 2002
It is known that semiparametric time series regression is often used without checking its suitability and compactness. In theory, this may result in dealing with an unnecessarily complicated model. In practice, one may encounter the computational difficulty caused by the spareness of the data....
Persistent link: https://www.econbiz.de/10005621775
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Estimating aid-growth equations: the case of Pacific Island countries
Rao, B. Bhaskara; Sharma, Kanaiah Lal; Singh, Rup - Volkswirtschaftliche Fakultät, … - 2007
The seminal and controversial work of Burnside and Dollar (2000) has been the basis for many subsequent empirical works on the growth effects of overseas development aid. This paper argues that the specifications used in these works are not consistent with the data and techniques used. We...
Persistent link: https://www.econbiz.de/10005836524
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Do we need time series econometrics
Rao, B. Bhaskara; Singh, Rup; Kumar, Saten - Volkswirtschaftliche Fakultät, … - 2008
simpler classical methods of estimation. This is known as the general to specific method (GETS). Like all other methodological … issues it is difficult to resolve which approach is better. However, we think that GETS is conceptually simpler and very …
Persistent link: https://www.econbiz.de/10005837231
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The Optimal Path of the Chinese Renminbi
Dupuy, Philippe; Carlotti, Jean-Etienne - Volkswirtschaftliche Fakultät, … - 2010
-To-Specific (GETS) approach enabling us to obtain empirically constant and encompassing ECM. As inference in finite sam- ples is …
Persistent link: https://www.econbiz.de/10008684919
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Estimates of the US Phillips curve with the general to specific method
Rao, B. Bhaskara; Paradiso, Antonio - Volkswirtschaftliche Fakultät, … - 2011
estimated in one step with the general to specific method (GETS). Our approach has two distinct advantages. Firstly, classical …
Persistent link: https://www.econbiz.de/10008805451
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Do we need time series econometrics?
Rao, B. Bhaskara; Singh, Rup; Kumar, Saten - Volkswirtschaftliche Fakultät, … - 2008
simpler classical methods of estimation. This is known as the general to specific method (GETS). Like all other methodological … issues this is also difficult to resolve but we think that GETS is very useful. …
Persistent link: https://www.econbiz.de/10005790324
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Endogeneity in ultrahigh dimension
Fan, Jianqing; Liao, Yuan - Volkswirtschaftliche Fakultät, … - 2012
Most papers on high-dimensional statistics are based on the assumption that none of the regressors are correlated with the regression error, namely, they are exogenous. Yet, endogeneity arises easily in high-dimensional regression due to a large pool of regressors and this causes the...
Persistent link: https://www.econbiz.de/10011109827