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Details about Anders Bredahl Kock

Workplace:Department of Economics, Oxford University, (more information at EDIRC)
School of Economics and Management, Institut for Økonomi (Department of Economics and Business Economics), Aarhus Universitet (Aarhus University), (more information at EDIRC)
Center for Research in Econometric Analysis of Time Series (CREATES), Institut for Økonomi (Department of Economics and Business Economics), Aarhus Universitet (Aarhus University), (more information at EDIRC)

Access statistics for papers by Anders Bredahl Kock.

Last updated 2019-11-11. Update your information in the RePEc Author Service.

Short-id: pko276


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Working Papers

2020

  1. Functional Sequential Treatment Allocation
    Papers, arXiv.org Downloads View citations (7)

2018

  1. Optimal sequential treatment allocation
    Papers, arXiv.org Downloads

2017

  1. Power in High-dimensional testing Problems
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles Downloads
    See also Journal Article in Econometrica (2019)

2016

  1. Inference in partially identified models with many moment inequalities using Lasso
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (4)

2015

  1. Sharp Threshold Detection Based on Sup-norm Error rates in High-dimensional Models
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (1)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2015) Downloads

    See also Journal Article in Journal of Business & Economic Statistics (2017)

2014

  1. Asymptotically Honest Confidence Regions for High Dimensional Parameters by the Desparsified Conservative Lasso
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (4)
    See also Journal Article in Journal of Econometrics (2018)
  2. Estimation and Forecasting of Large Realized Covariance Matrices and Portfolio Choice
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (2)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2014) Downloads View citations (2)
  3. Inference in High-dimensional Dynamic Panel Data Models
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (4)

2013

  1. Lassoing the Determinants of Retirement
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (1)
    See also Journal Article in Econometric Reviews (2016)
  2. Oracle Inequalities for Convex Loss Functions with Non-Linear Targets
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads
    See also Journal Article in Econometric Reviews (2016)
  3. Oracle inequalities for high-dimensional panel data models
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (6)

2012

  1. On the Oracle Property of the Adaptive Lasso in Stationary and Nonstationary Autoregressions
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (9)
  2. Oracle Efficient Estimation and Forecasting with the Adaptive LASSO and the Adaptive Group LASSO in Vector Autoregressions
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (9)
  3. Oracle Inequalities for High Dimensional Vector Autoregressions
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (21)
    See also Journal Article in Journal of Econometrics (2015)

2011

  1. Forecasting Macroeconomic Variables using Neural Network Models and Three Automated Model Selection Techniques
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (6)
    See also Journal Article in Econometric Reviews (2016)
  2. Forecasting performance of three automated modelling techniques during the economic crisis 2007-2009
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (1)
    See also Journal Article in International Journal of Forecasting (2014)

2010

  1. Forecasting with nonlinear time series models
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (17)
  2. Oracle Efficient Variable Selection in Random and Fixed Effects Panel Data Models
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (1)
    See also Journal Article in Econometric Theory (2013)

2009

  1. Forecasting with Universal Approximators and a Learning Algorithm
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (2)
    See also Journal Article in Journal of Time Series Econometrics (2011)

Journal Articles

2019

  1. Power in High‐Dimensional Testing Problems
    Econometrica, 2019, 87, (3), 1055-1069 Downloads View citations (3)
    See also Working Paper (2017)

2018

  1. Asymptotically honest confidence regions for high dimensional parameters by the desparsified conservative Lasso
    Journal of Econometrics, 2018, 203, (1), 143-168 Downloads View citations (14)
    See also Working Paper (2014)

2017

  1. Modeling and Forecasting Large Realized Covariance Matrices and Portfolio Choice
    Journal of Applied Econometrics, 2017, 32, (1), 140-158 Downloads View citations (34)
  2. Sharp Threshold Detection Based on Sup-Norm Error Rates in High-Dimensional Models
    Journal of Business & Economic Statistics, 2017, 35, (2), 250-264 Downloads
    See also Working Paper (2015)

2016

  1. CONSISTENT AND CONSERVATIVE MODEL SELECTION WITH THE ADAPTIVE LASSO IN STATIONARY AND NONSTATIONARY AUTOREGRESSIONS
    Econometric Theory, 2016, 32, (1), 243-259 Downloads View citations (15)
  2. Forecasting Macroeconomic Variables Using Neural Network Models and Three Automated Model Selection Techniques
    Econometric Reviews, 2016, 35, (8-10), 1753-1779 Downloads View citations (8)
    See also Working Paper (2011)
  3. Lassoing the Determinants of Retirement
    Econometric Reviews, 2016, 35, (8-10), 1522-1561 Downloads
    See also Working Paper (2013)
  4. Oracle Inequalities for Convex Loss Functions with Nonlinear Targets
    Econometric Reviews, 2016, 35, (8-10), 1377-1411 Downloads View citations (1)
    See also Working Paper (2013)
  5. Oracle inequalities, variable selection and uniform inference in high-dimensional correlated random effects panel data models
    Journal of Econometrics, 2016, 195, (1), 71-85 Downloads View citations (3)

2015

  1. Oracle inequalities for high dimensional vector autoregressions
    Journal of Econometrics, 2015, 186, (2), 325-344 Downloads View citations (59)
    See also Working Paper (2012)

2014

  1. Forecasting performances of three automated modelling techniques during the economic crisis 2007–2009
    International Journal of Forecasting, 2014, 30, (3), 616-631 Downloads View citations (11)
    See also Working Paper (2011)

2013

  1. Forecasting the Finnish Consumer Price Inflation Using Artificial Neural Network Models and Three Automated Model Selection Techniques
    Finnish Economic Papers, 2013, 26, (1), 13-24 Downloads View citations (15)
  2. ORACLE EFFICIENT VARIABLE SELECTION IN RANDOM AND FIXED EFFECTS PANEL DATA MODELS
    Econometric Theory, 2013, 29, (1), 115-152 Downloads View citations (11)
    See also Working Paper (2010)

2011

  1. Forecasting with Universal Approximators and a Learning Algorithm
    Journal of Time Series Econometrics, 2011, 3, (3), 1-32 Downloads View citations (2)
    See also Working Paper (2009)
 
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