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On the distribution of penalized maximum likelihood estimators: The LASSO, SCAD, and thresholding.
Pötscher, Benedikt M.; Leeb, Hannes - Volkswirtschaftliche Fakultät, … - 2007
We study the distributions of the LASSO, SCAD, and thresholding estimators, in finite samples and in the large …
Persistent link: https://www.econbiz.de/10005837301
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Sparse Estimators and the Oracle Property, or the Return of Hodges' Estimator
Leeb, Hannes; Poetscher, Benedikt M. - Cowles Foundation for Research in Economics, Yale University - 2005
deviation (SCAD) estimator introduced in Fan and Li (2001). We find that this estimator can perform rather poorly infinite …
Persistent link: https://www.econbiz.de/10005593633
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Efficient estimation of approximate factor models via penalized maximum likelihood
Bai, Jushan; Liao, Yuan - In: Journal of econometrics 191 (2016) 1, pp. 1-18
Persistent link: https://www.econbiz.de/10011594307
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Predicting the long-term stock market volatility : a GARCH-MIDAS model with variable selection
Fang, Tong; Lee, Tae-hwy; Su, Zhi - In: Journal of empirical finance 58 (2020), pp. 36-49
Persistent link: https://www.econbiz.de/10012430452
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Lasso maximum likelihood estimation of parametric models with singular information matrices
Jin, Fei; Lee, Lung-Fei - In: Econometrics 6 (2018) 1, pp. 1-24
regular case. We propose to estimate such models by the adaptive lasso maximum likelihood and propose an information criterion …
Persistent link: https://www.econbiz.de/10011995209
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Lasso maximum likelihood estimation of parametric models with singular information matrices
Jin, Fei; Lee, Lung-fei - In: Econometrics : open access journal 6 (2018) 1, pp. 1-24
regular case. We propose to estimate such models by the adaptive lasso maximum likelihood and propose an information criterion …
Persistent link: https://www.econbiz.de/10011823268
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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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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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Semiparametric Estimation and Variable Selection for Single-index Copula Models
Yang, Bingduo; Hafner, Christian M.; Liu, Guannan; Long, Wei - 2018
A copula model with flexibly specified dependence structure can be useful to capture the complexity and heterogeneity in economic and financial time series. However, there exists little methodological guidance for the specification process using copulas. This paper contributes to fill this gap...
Persistent link: https://www.econbiz.de/10012433212