35 citations · 69 across the 6 of their papers we have counts for
4 papers · 1 filter
A Modern Gauss-Markov Theorem? Really?
Benedikt M. Pötscher, David Preinerstorfer
We show that the theorems in Hansen (2021a) (the version accepted by Econometrica), except for one, are not new as they coincide with classical theorems like the good old Gauss-Mar…
On the Distribution of the Adaptive LASSO Estimator
Benedikt M. Pötscher, Ulrike Schneider
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 t…
Confidence Sets Based on Sparse Estimators Are Necessarily Large
Benedikt M. Pötscher
Confidence sets based on sparse estimators are shown to be large compared to more standard confidence sets, demonstrating that sparsity of an estimator comes at a substantial price…
The distribution of model averaging estimators and an impossibility result regarding its estimation
Benedikt M. Pötscher
The finite-sample as well as the asymptotic distribution of Leung and Barron's (2006) model averaging estimator are derived in the context of a linear regression model. An impossib…