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most citedConfidence Sets Based on Penalized Maximum Likelihood Estimators in Gaussian Regression

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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…