5 citations · 5 across the 3 of their papers we have counts for
3 papers
econ.EM2025
Beyond the Oracle Property: Adaptive LASSO in Cointegrating Regressions with Local-to-Unity Regressors
Karsten Reichold, Ulrike Schneider
This paper derives new asymptotic results for the adaptive LASSO estimator in cointegrating regressions, allowing for uncertainty about whether the regressors are exact unit root p…
econ.EM2022
A Residuals-Based Nonparametric Variance Ratio Test for Cointegration
Karsten Reichold
This paper derives asymptotic theory for Breitung's (2002, Journal of Econometrics 108, 343-363) nonparameteric variance ratio unit root test when applied to regression residuals.…
econ.EM2022★ 5 cited
A Bootstrap-Assisted Self-Normalization Approach to Inference in Cointegrating Regressions
Karsten Reichold, Carsten Jentsch
Traditional inference in cointegrating regressions requires tuning parameter choices to estimate a long-run variance parameter. Even in case these choices are "optimal", the tests…