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Details about Hannes Leeb

E-mail:
Phone:+43 1 4277 38620
Postal address:Department of Statistics University of Vienna Oskar-Morgenstern-Platz 1 1090 Vienna, Austria
Workplace:Department of Statistics and Operations Research, Fakultät für Wirtschaftswissenschaften (Faculty of Economics), Universität Wien (University of Vienna), (more information at EDIRC)

Access statistics for papers by Hannes Leeb.

Last updated 2014-12-12. Update your information in the RePEc Author Service.

Short-id: ple110


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Working Papers

2014

  1. On various confidence intervals post-model-selection
    MPRA Paper, University Library of Munich, Germany Downloads
    Also in MPRA Paper, University Library of Munich, Germany (2014) Downloads

2012

  1. Testing in the Presence of Nuisance Parameters: Some Comments on Tests Post-Model-Selection and Random Critical Values
    MPRA Paper, University Library of Munich, Germany Downloads View citations (3)

2007

  1. On the distribution of penalized maximum likelihood estimators: The LASSO, SCAD, and thresholding
    MPRA Paper, University Library of Munich, Germany Downloads View citations (6)
    See also Journal Article in Journal of Multivariate Analysis (2009)
  2. Sparse Estimators and the Oracle Property, or the Return of Hodges' Estimator
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (13)
    See also Journal Article in Journal of Econometrics (2008)

2006

  1. The distribution of a linear predictor after model selection: Unconditional finite-sample distributions and asymptotic approximations
    Papers, arXiv.org Downloads View citations (4)

2005

  1. Can One Estimate the Unconditional Distribution of Post-Model-Selection Estimators ?
    MPRA Paper, University Library of Munich, Germany Downloads View citations (13)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2003) Downloads View citations (12)

    See also Journal Article in Econometric Theory (2008)

2003

  1. Performance Limits for Estimators of the Risk or Distribution of Shrinkage-Type Estimators, and Some General Lower Risk-Bound Results
    Vienna Economics Papers, University of Vienna, Department of Economics Downloads View citations (4)
    See also Journal Article in Econometric Theory (2006)

2000

  1. The Finite-Sample Distribution of Post-Model-Selection Estimators, and Uniform Versus Non-Uniform Approximations
    Econometrics, EconWPA Downloads View citations (24)
    See also Journal Article in Econometric Theory (2003)

1999

  1. The variance of an integrated process need not diverge to infinity
    Econometrics, EconWPA Downloads View citations (3)

Journal Articles

2009

  1. On the distribution of penalized maximum likelihood estimators: The LASSO, SCAD, and thresholding
    Journal of Multivariate Analysis, 2009, 100, (9), 2065-2082 Downloads View citations (16)
    See also Working Paper (2007)

2008

  1. CAN ONE ESTIMATE THE UNCONDITIONAL DISTRIBUTION OF POST-MODEL-SELECTION ESTIMATORS?
    Econometric Theory, 2008, 24, (02), 338-376 Downloads View citations (21)
    See also Working Paper (2005)
  2. CORRIGENDUM: Correction to
    Econometric Theory, 2008, 24, (02), 581-583 Downloads
  3. GUEST EDITORS' EDITORIAL: RECENT DEVELOPMENTS IN MODEL SELECTION AND RELATED AREAS
    Econometric Theory, 2008, 24, (02), 319-322 Downloads View citations (2)
  4. Sparse estimators and the oracle property, or the return of Hodges' estimator
    Journal of Econometrics, 2008, 142, (1), 201-211 Downloads View citations (25)
    See also Working Paper (2007)

2006

  1. On the Large-Sample Minimal Coverage Probability of Confidence Intervals After Model Selection
    Journal of the American Statistical Association, 2006, 101, 619-629 Downloads View citations (12)
  2. PERFORMANCE LIMITS FOR ESTIMATORS OF THE RISK OR DISTRIBUTION OF SHRINKAGE-TYPE ESTIMATORS, AND SOME GENERAL LOWER RISK-BOUND RESULTS
    Econometric Theory, 2006, 22, (01), 69-97 Downloads View citations (5)
    See also Working Paper (2003)

2005

  1. MODEL SELECTION AND INFERENCE: FACTS AND FICTION
    Econometric Theory, 2005, 21, (01), 21-59 Downloads View citations (101)

2003

  1. THE FINITE-SAMPLE DISTRIBUTION OF POST-MODEL-SELECTION ESTIMATORS AND UNIFORM VERSUS NONUNIFORM APPROXIMATIONS
    Econometric Theory, 2003, 19, (01), 100-142 Downloads View citations (19)
    See also Working Paper (2000)

2001

  1. THE VARIANCE OF AN INTEGRATED PROCESS NEED NOT DIVERGE TO INFINITY, AND RELATED RESULTS ON PARTIAL SUMS OF STATIONARY PROCESSES
    Econometric Theory, 2001, 17, (04), 671-685 Downloads View citations (1)
 
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