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Sparse estimators and the oracle property, or the return of Hodges’ estimator

, and . Journal of Econometrics, 142 (1): 201--211 (January 2008)
DOI: 10.1016/j.jeconom.2007.05.017

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On the formulation of uniform laws of large numbers: a truncation approach, and . Statistics, 25 (4): 343--360 (1994)Dynamic nonlinear econometric models, and . Springer, Berlin u.a., (1997)Model selection and inference: facts and fiction, and . Econometric Theory, 21 (1): 21--59 (February 2005)Basic structure of the asymptotic theory in dynamic nonlineaerco nometric models, part i: consistency and approximation concepts, and . Econometric Reviews, 10 (2): 125--216 (1991)Sparse estimators and the oracle property, or the return of Hodges’ estimator, and . Journal of Econometrics, 142 (1): 201--211 (January 2008)Model selection, and . Handbook of Financial Time Series, Springer, Berlin Heidelberg, (2009)Reply to comments on basic structure of the asymptotic theory in dynamic nonlinear econometric models. II. asymptotic normality, and . Econometric Reviews, 10 (3): 349--357 (1991)On the distribution of penalized maximum likelihood estimators: The LASSO, SCAD, and thresholding., and . J. Multivar. Anal., 100 (9): 2065-2082 (2009)Lower Risk Bounds and Properties of Confidence Sets for Ill-Posed Estimation Problems with Applications to Spectral Density and Persistence Estimation, Unit Roots, and Estimation of Long Memory Parameters. Econometrica, 70 (3): 1035--1065 (121 05 2002)doi: 10.1111/1468-0262.00318.Sparse estimators and the oracle property, or the return of Hodges' estimator, and . Journal of Econometrics, 142 (1): 201--211 (January 2008)