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Details about Benedikt M Pötscher

E-mail:
Homepage:http://www.univie.ac.at/seam/Poetscher/poetscher.html
Phone:(+43 1) 427738640
Postal address:Department of Statistics University of Vienna Universitaetsstrasse 5 A-1010 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 Benedikt M Pötscher.

Last updated 2017-04-05. Update your information in the RePEc Author Service.

Short-id: ppt1


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Working Papers

2016

  1. Controlling the Size of Autocorrelation Robust Tests
    MPRA Paper, University Library of Munich, Germany Downloads

2014

  1. On the Power of Invariant Tests for Hypotheses on a Covariance Matrix
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)
    See also Journal Article in Econometric Theory (2017)
  2. 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
  3. Valid confidence intervals for post-model-selection predictors
    MPRA Paper, University Library of Munich, Germany Downloads

2013

  1. On Size and Power of Heteroscedasticity and Autocorrelation Robust Tests
    MPRA Paper, University Library of Munich, Germany Downloads
    See also Journal Article in Econometric Theory (2016)

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)

2011

  1. Distributional results for thresholding estimators in high-dimensional Gaussian regression models
    MPRA Paper, University Library of Munich, Germany Downloads View citations (2)
  2. On the Order of Magnitude of Sums of Negative Powers of Integrated Processes
    MPRA Paper, University Library of Munich, Germany Downloads
    See also Journal Article in Econometric Theory (2013)

2010

  1. Non-Parametric Maximum Likelihood Density Estimation and Simulation-Based Minimum Distance Estimators
    MPRA Paper, University Library of Munich, Germany Downloads

2009

  1. Efficient Simulation-Based Minimum Distance Estimation and Indirect Inference
    MPRA Paper, University Library of Munich, Germany Downloads

2008

  1. Confidence sets based on penalized maximum likelihood estimators
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)

2007

  1. Confidence Sets Based on Sparse Estimators Are Necessarily Large
    MPRA Paper, University Library of Munich, Germany Downloads View citations (2)
  2. 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)
  3. On the distribution of the adaptive LASSO estimator
    MPRA Paper, University Library of Munich, Germany Downloads View citations (2)
  4. 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 Model Averaging Estimators and an Impossibility Result Regarding Its Estimation
    MPRA Paper, University Library of Munich, Germany Downloads View citations (9)

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)

2001

  1. Nonlinear Functions and Convergence to Brownian Motion: Beyond the Continuous Mapping Theorem
    Vienna Economics Papers, University of Vienna, Department of Economics Downloads View citations (1)

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. Basic Elements of Asymptotic Theory
    Electronic Working Papers, University of Maryland, Department of Economics Downloads View citations (3)
  2. Lower Risk Bounds and Properties of Confidence Sets For Ill-Posed Estimation Problems with Applications to Spectral Density and Persistence Estimation, Unit Roots,and Estimation of Long Memory Parameters
    Vienna Economics Papers, University of Vienna, Department of Economics Downloads
    See also Journal Article in Econometrica (2002)
  3. The variance of an integrated process need not diverge to infinity
    Econometrics, EconWPA Downloads View citations (3)

1994

  1. On the Formulation of Uniform Laws of Large Numbers: A Truncation Approach
    NBER Technical Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)

1987

  1. A Uniform Law of Large Numbers for Dependent and Heterogeneous Data Process
    Working Papers, C.V. Starr Center for Applied Economics, New York University Downloads View citations (1)
    See also Journal Article in Econometrica (1989)

Journal Articles

2017

  1. ON THE POWER OF INVARIANT TESTS FOR HYPOTHESES ON A COVARIANCE MATRIX
    Econometric Theory, 2017, 33, (01), 1-68 Downloads View citations (1)
    See also Working Paper (2014)

2016

  1. ON SIZE AND POWER OF HETEROSKEDASTICITY AND AUTOCORRELATION ROBUST TESTS
    Econometric Theory, 2016, 32, (02), 261-358 Downloads View citations (1)
    See also Working Paper (2013)

2013

  1. ON THE ORDER OF MAGNITUDE OF SUMS OF NEGATIVE POWERS OF INTEGRATED PROCESSES
    Econometric Theory, 2013, 29, (03), 642-658 Downloads
    See also Working Paper (2011)

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 (15)
    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)

2007

  1. THE ET INTERVIEW: PROFESSOR MANFRED DEISTLER: Interviewed by Benedikt M. P tscher
    Econometric Theory, 2007, 23, (04), 711-748 Downloads

2006

  1. 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 (100)

2004

  1. Contributions to econometrics, time-series analysis, and systems identification: a Festschrift in honor of Manfred Deistler
    Journal of Econometrics, 2004, 118, (1-2), 1-5 Downloads
  2. Modeling of time series arrays by multistep prediction or likelihood methods
    Journal of Econometrics, 2004, 118, (1-2), 151-187 Downloads View citations (5)

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 (18)
    See also Working Paper (2000)

2002

  1. Lower Risk Bounds and Properties of Confidence Sets for Ill-Posed Estimation Problems with Applications to Spectral Density and Persistence Estimation, Unit Roots, and Estimation of Long Memory Parameters
    Econometrica, 2002, 70, (3), 1035-1065 Downloads View citations (9)
    See also Working Paper (1999)

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)

1999

  1. Measuring persistence in aggregate output: ARMA models, fractionally integrated ARMA models and nonparametric procedures
    Empirical Economics, 1999, 24, (2), 243-269 Downloads View citations (16)

1995

  1. Comment on 'Adaptive estimation in time series regression models' by D.G. Steigerwald
    Journal of Econometrics, 1995, 66, (1-2), 123-129 Downloads
  2. Comment on “The Effect of Model Selection on Confidence Regions and Prediction Regions” by P. Kabaila
    Econometric Theory, 1995, 11, (03), 550-559 Downloads

1994

  1. Generic uniform convergence and equicontinuity concepts for random functions: An exploration of the basic structure
    Journal of Econometrics, 1994, 60, (1-2), 23-63 Downloads View citations (6)

1993

  1. Efficiency of Maximum Likelihood
    Econometric Theory, 1993, 9, (03), 534-536 Downloads

1992

  1. Book reviews
    Metrika: International Journal for Theoretical and Applied Statistics, 1992, 39, (1), 56-66 Downloads

1991

  1. Effects of Model Selection on Inference
    Econometric Theory, 1991, 7, (02), 163-185 Downloads View citations (47)
  2. Noninvertibility and Pseudo-Maximum Likelihood Estimation of Misspecified ARMA Models
    Econometric Theory, 1991, 7, (04), 435-449 Downloads View citations (4)

1990

  1. Comment
    Econometric Theory, 1990, 6, (02), 291-292 Downloads

1989

  1. A Uniform Law of Large Numbers for Dependent and Heterogeneous Data Processes
    Econometrica, 1989, 57, (3), 675-83 Downloads View citations (19)
    See also Working Paper (1987)
  2. Convergence results for maximum likelihood type estimators in multivariable ARMA models II
    Journal of Multivariate Analysis, 1989, 30, (2), 241-244 Downloads View citations (1)
  3. Pseudo Orthogonality and Granger Causality in Dynamic Data
    Econometric Theory, 1989, 5, (03), 456-459 Downloads

1988

  1. Nonlinear Statistical Models by A. Ronald Gallant John Wiley & Sons, 1986
    Econometric Theory, 1988, 4, (01), 183-186 Downloads

1987

  1. Convergence results for maximum likelihood type estimators in multivariable ARMA models
    Journal of Multivariate Analysis, 1987, 21, (1), 29-52 Downloads View citations (2)

1986

  1. A class of partially adaptive one-step m-estimators for the non-linear regression model with dependent observations
    Journal of Econometrics, 1986, 32, (2), 219-251 Downloads View citations (14)

1985

  1. The behaviour of the Lagrangian multiplier test in testing the orders of an ARMA-model
    Metrika: International Journal for Theoretical and Applied Statistics, 1985, 32, (1), 129-150 Downloads View citations (1)

1984

  1. The uniqueness of the transfer function of linear systems from input-output observations
    Metrika: International Journal for Theoretical and Applied Statistics, 1984, 31, (1), 157-181 Downloads
 
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