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 conservative model selection as well as for the case...