Details about Anders Bredahl Kock

Access statistics for papers by Anders Bredahl Kock.

Last updated 2024-12-06. Update your information in the RePEc Author Service.

Short-id: pko276

Working Papers

2024

1. A remark on moment-dependent phase transitions in high-dimensional Gaussian approximations
   Papers, arXiv.org
   See also Journal Article A remark on moment-dependent phase transitions in high-dimensional Gaussian approximations, Statistics & Probability Letters, Elsevier (2024) (2024)
2. Data-Driven Tuning Parameter Selection for High-Dimensional Vector Autoregressions
   Papers, arXiv.org
3. Enhanced power enhancements for testing many moment equalities: Beyond the $2$- and $\infty$-norm
   Papers, arXiv.org
4. Regularizing Discrimination in Optimal Policy Learning with Distributional Targets
   Papers, arXiv.org

2023

5. A Ridge-Regularised Jackknifed Anderson-Rubin Test
   Papers, arXiv.org
   See also Journal Article A Ridge-Regularized Jackknifed Anderson-Rubin Test, Journal of Business & Economic Statistics, Taylor & Francis Journals (2024) View citations (1) (2024)

2022

6. Superconsistency of Tests in High Dimensions
   Papers, arXiv.org View citations (1)
7. Treatment recommendation with distributional targets
   Papers, arXiv.org View citations (1)
   See also Journal Article Treatment recommendation with distributional targets, Journal of Econometrics, Elsevier (2023) View citations (2) (2023)

2020

8. Functional Sequential Treatment Allocation
   Papers, arXiv.org View citations (10)
   See also Journal Article Functional Sequential Treatment Allocation, Journal of the American Statistical Association, Taylor & Francis Journals (2022) View citations (3) (2022)
9. Functional Sequential Treatment Allocation with Covariates
   Papers, arXiv.org View citations (5)

2018

10. Optimal sequential treatment allocation
    Papers, arXiv.org View citations (1)

2017

11. Power in High-dimensional testing Problems
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles View citations (1)
    See also Journal Article Power in High‐Dimensional Testing Problems, Econometrica, Econometric Society (2019) View citations (5) (2019)

2016

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

2015

13. Sharp Threshold Detection Based on Sup-norm Error rates in High-dimensional Models
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (1)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2015)
    See also Journal Article Sharp Threshold Detection Based on Sup-Norm Error Rates in High-Dimensional Models, Journal of Business & Economic Statistics, Taylor & Francis Journals (2017) View citations (1) (2017)

2014

14. Asymptotically Honest Confidence Regions for High Dimensional Parameters by the Desparsified Conservative Lasso
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (4)
    See also Journal Article Asymptotically honest confidence regions for high dimensional parameters by the desparsified conservative Lasso, Journal of Econometrics, Elsevier (2018) View citations (34) (2018)
15. Estimation and Forecasting of Large Realized Covariance Matrices and Portfolio Choice
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (2)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2014) View citations (2)
16. Inference in High-dimensional Dynamic Panel Data Models
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (4)

2013

17. Lassoing the Determinants of Retirement
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (1)
    See also Journal Article Lassoing the Determinants of Retirement, Econometric Reviews, Taylor & Francis Journals (2016) (2016)
18. Oracle Inequalities for Convex Loss Functions with Non-Linear Targets
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
    See also Journal Article Oracle Inequalities for Convex Loss Functions with Nonlinear Targets, Econometric Reviews, Taylor & Francis Journals (2016) View citations (1) (2016)
19. Oracle inequalities for high-dimensional panel data models
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (5)

2012

20. On the Oracle Property of the Adaptive Lasso in Stationary and Nonstationary Autoregressions
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (9)
21. 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 View citations (9)
22. Oracle Inequalities for High Dimensional Vector Autoregressions
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (21)
    See also Journal Article Oracle inequalities for high dimensional vector autoregressions, Journal of Econometrics, Elsevier (2015) View citations (99) (2015)

2011

23. Forecasting Macroeconomic Variables using Neural Network Models and Three Automated Model Selection Techniques
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (7)
    See also Journal Article Forecasting Macroeconomic Variables Using Neural Network Models and Three Automated Model Selection Techniques, Econometric Reviews, Taylor & Francis Journals (2016) View citations (12) (2016)
24. Forecasting performance of three automated modelling techniques during the economic crisis 2007-2009
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (1)
    See also Journal Article Forecasting performances of three automated modelling techniques during the economic crisis 2007–2009, International Journal of Forecasting, Elsevier (2014) View citations (19) (2014)

2010

25. Forecasting with nonlinear time series models
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (17)
26. Oracle Efficient Variable Selection in Random and Fixed Effects Panel Data Models
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (1)
    See also Journal Article ORACLE EFFICIENT VARIABLE SELECTION IN RANDOM AND FIXED EFFECTS PANEL DATA MODELS, Econometric Theory, Cambridge University Press (2013) View citations (20) (2013)

2009

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

Journal Articles

2024

1. A Ridge-Regularized Jackknifed Anderson-Rubin Test
   Journal of Business & Economic Statistics, 2024, 42, (3), 1083-1094 View citations (1)
   See also Working Paper A Ridge-Regularised Jackknifed Anderson-Rubin Test, Papers (2023) (2023)
2. A remark on moment-dependent phase transitions in high-dimensional Gaussian approximations
   Statistics & Probability Letters, 2024, 211, (C)
   See also Working Paper A remark on moment-dependent phase transitions in high-dimensional Gaussian approximations, Papers (2024) (2024)

2023

3. Treatment recommendation with distributional targets
   Journal of Econometrics, 2023, 234, (2), 624-646 View citations (2)
   See also Working Paper Treatment recommendation with distributional targets, Papers (2022) View citations (1) (2022)

2022

4. Functional Sequential Treatment Allocation
   Journal of the American Statistical Association, 2022, 117, (539), 1311-1323 View citations (3)
   See also Working Paper Functional Sequential Treatment Allocation, Papers (2020) View citations (10) (2020)

2019

5. Power in High‐Dimensional Testing Problems
   Econometrica, 2019, 87, (3), 1055-1069 View citations (5)
   See also Working Paper Power in High-dimensional testing Problems, Working Papers ECARES (2017) View citations (1) (2017)
6. UNIFORM INFERENCE IN HIGH-DIMENSIONAL DYNAMIC PANEL DATA MODELS WITH APPROXIMATELY SPARSE FIXED EFFECTS
   Econometric Theory, 2019, 35, (2), 295-359 View citations (11)

2018

7. Asymptotically honest confidence regions for high dimensional parameters by the desparsified conservative Lasso
   Journal of Econometrics, 2018, 203, (1), 143-168 View citations (34)
   See also Working Paper Asymptotically Honest Confidence Regions for High Dimensional Parameters by the Desparsified Conservative Lasso, CREATES Research Papers (2014) View citations (4) (2014)

2017

8. Modeling and Forecasting Large Realized Covariance Matrices and Portfolio Choice
   Journal of Applied Econometrics, 2017, 32, (1), 140-158 View citations (53)
9. Sharp Threshold Detection Based on Sup-Norm Error Rates in High-Dimensional Models
   Journal of Business & Economic Statistics, 2017, 35, (2), 250-264 View citations (1)
   See also Working Paper Sharp Threshold Detection Based on Sup-norm Error rates in High-dimensional Models, CREATES Research Papers (2015) View citations (1) (2015)

2016

10. CONSISTENT AND CONSERVATIVE MODEL SELECTION WITH THE ADAPTIVE LASSO IN STATIONARY AND NONSTATIONARY AUTOREGRESSIONS
    Econometric Theory, 2016, 32, (1), 243-259 View citations (25)
11. Forecasting Macroeconomic Variables Using Neural Network Models and Three Automated Model Selection Techniques
    Econometric Reviews, 2016, 35, (8-10), 1753-1779 View citations (12)
    See also Working Paper Forecasting Macroeconomic Variables using Neural Network Models and Three Automated Model Selection Techniques, CREATES Research Papers (2011) View citations (7) (2011)
12. Lassoing the Determinants of Retirement
    Econometric Reviews, 2016, 35, (8-10), 1522-1561
    See also Working Paper Lassoing the Determinants of Retirement, CREATES Research Papers (2013) View citations (1) (2013)
13. Oracle Inequalities for Convex Loss Functions with Nonlinear Targets
    Econometric Reviews, 2016, 35, (8-10), 1377-1411 View citations (1)
    See also Working Paper Oracle Inequalities for Convex Loss Functions with Non-Linear Targets, CREATES Research Papers (2013) (2013)
14. Oracle inequalities, variable selection and uniform inference in high-dimensional correlated random effects panel data models
    Journal of Econometrics, 2016, 195, (1), 71-85 View citations (15)

2015

15. Oracle inequalities for high dimensional vector autoregressions
    Journal of Econometrics, 2015, 186, (2), 325-344 View citations (99)
    See also Working Paper Oracle Inequalities for High Dimensional Vector Autoregressions, CREATES Research Papers (2012) View citations (21) (2012)

2014

16. Forecasting performances of three automated modelling techniques during the economic crisis 2007–2009
    International Journal of Forecasting, 2014, 30, (3), 616-631 View citations (19)
    See also Working Paper Forecasting performance of three automated modelling techniques during the economic crisis 2007-2009, CREATES Research Papers (2011) View citations (1) (2011)

2013

17. 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 View citations (16)
18. ORACLE EFFICIENT VARIABLE SELECTION IN RANDOM AND FIXED EFFECTS PANEL DATA MODELS
    Econometric Theory, 2013, 29, (1), 115-152 View citations (20)
    See also Working Paper Oracle Efficient Variable Selection in Random and Fixed Effects Panel Data Models, CREATES Research Papers (2010) View citations (1) (2010)

2011

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