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03/02/2022
A Modern Gauss-Markov Theorem? Really?
We show that the theorems in Hansen (2021a) (the version accepted by Eco...
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04/26/2021
Valid Heteroskedasticity Robust Testing
Tests based on heteroskedasticity robust standard errors are an importan...
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05/08/2020
How Reliable are Bootstrap-based Heteroskedasticity Robust Tests?
We develop theoretical finite-sample results concerning the size of wild...
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12/19/2018
Discussion on "Model Confidence Bounds for Variable Selection" by Yang Li, Yuetian Luo, Davide Ferrari, Xiaonan Hu, and Yichen Qin
This is a comment on the article mentioned in the title....
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12/19/2018
Comment on "Model Confidence Bounds for Variable Selection" by Yang Li, Yuetian Luo, Davide Ferrari, Xiaonan Hu, and Yichen Qin
This is a comment on the article mentioned in the title....
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06/29/2011
Distributional Results for Thresholding Estimators in High-Dimensional Gaussian Regression Models
We study the distribution of hard-, soft-, and adaptive soft-thresholdin...
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06/10/2008
Confidence Sets Based on Penalized Maximum Likelihood Estimators in Gaussian Regression
Confidence intervals based on penalized maximum likelihood estimators su...
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01/30/2008
On the Distribution of the Adaptive LASSO Estimator
We study the distribution of the adaptive LASSO estimator (Zou (2006)) i...
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11/05/2007