2 papers
econ.EM2026
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…
math.ST2025
A Unified Framework for Pattern Recovery in Penalized and Thresholded Estimation and its Geometry
Piotr Graczyk, Ulrike Schneider, Tomasz Skalski +1
We consider the framework of penalized estimation where the penalty term is given by a real-valued polyhedral gauge, which encompasses methods such as LASSO, generalized LASSO, SLO…