Details about Hannes Leeb

Access statistics for papers by Hannes Leeb.

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

Short-id: ple110

Working Papers

2014

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

2012

2. 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 View citations (5)

2007

3. On the distribution of penalized maximum likelihood estimators: The LASSO, SCAD, and thresholding
   MPRA Paper, University Library of Munich, Germany View citations (7)
   See also Journal Article On the distribution of penalized maximum likelihood estimators: The LASSO, SCAD, and thresholding, Journal of Multivariate Analysis, Elsevier (2009) View citations (51) (2009)
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 View citations (14)
   See also Journal Article Sparse estimators and the oracle property, or the return of Hodges' estimator, Journal of Econometrics, Elsevier (2008) View citations (82) (2008)

2006

5. The distribution of a linear predictor after model selection: Unconditional finite-sample distributions and asymptotic approximations
   Papers, arXiv.org View citations (9)

2005

6. Can One Estimate the Unconditional Distribution of Post-Model-Selection Estimators ?
   MPRA Paper, University Library of Munich, Germany View citations (13)
   Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2003) View citations (23)
   See also Journal Article CAN ONE ESTIMATE THE UNCONDITIONAL DISTRIBUTION OF POST-MODEL-SELECTION ESTIMATORS?, Econometric Theory, Cambridge University Press (2008) View citations (59) (2008)

2000

7. The Finite-Sample Distribution of Post-Model-Selection Estimators, and Uniform Versus Non-Uniform Approximations
   Econometrics, University Library of Munich, Germany View citations (27)
   See also Journal Article THE FINITE-SAMPLE DISTRIBUTION OF POST-MODEL-SELECTION ESTIMATORS AND UNIFORM VERSUS NONUNIFORM APPROXIMATIONS, Econometric Theory, Cambridge University Press (2003) View citations (31) (2003)

1999

8. The variance of an integrated process need not diverge to infinity
   Econometrics, University Library of Munich, Germany 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 View citations (51)
   See also Working Paper On the distribution of penalized maximum likelihood estimators: The LASSO, SCAD, and thresholding, MPRA Paper (2007) View citations (7) (2007)

2008

2. CAN ONE ESTIMATE THE UNCONDITIONAL DISTRIBUTION OF POST-MODEL-SELECTION ESTIMATORS?
   Econometric Theory, 2008, 24, (2), 338-376 View citations (59)
   See also Working Paper Can One Estimate the Unconditional Distribution of Post-Model-Selection Estimators ?, MPRA Paper (2005) View citations (13) (2005)
3. CORRIGENDUM: Correction to “Performance Limits for Estimators of the Risk or Distribution of Shrinkage-Type Estimators, and Some General Lower Risk-Bound Results”
   Econometric Theory, 2008, 24, (2), 581-583
4. Sparse estimators and the oracle property, or the return of Hodges' estimator
   Journal of Econometrics, 2008, 142, (1), 201-211 View citations (82)
   See also Working Paper Sparse Estimators and the Oracle Property, or the Return of Hodges' Estimator, Cowles Foundation Discussion Papers (2007) View citations (14) (2007)

2006

5. On the Large-Sample Minimal Coverage Probability of Confidence Intervals After Model Selection
   Journal of the American Statistical Association, 2006, 101, 619-629 View citations (27)
6. PERFORMANCE LIMITS FOR ESTIMATORS OF THE RISK OR DISTRIBUTION OF SHRINKAGE-TYPE ESTIMATORS, AND SOME GENERAL LOWER RISK-BOUND RESULTS
   Econometric Theory, 2006, 22, (1), 69-97 View citations (10)

2005

7. MODEL SELECTION AND INFERENCE: FACTS AND FICTION
   Econometric Theory, 2005, 21, (1), 21-59 View citations (290)

2003

8. THE FINITE-SAMPLE DISTRIBUTION OF POST-MODEL-SELECTION ESTIMATORS AND UNIFORM VERSUS NONUNIFORM APPROXIMATIONS
   Econometric Theory, 2003, 19, (1), 100-142 View citations (31)
   See also Working Paper The Finite-Sample Distribution of Post-Model-Selection Estimators, and Uniform Versus Non-Uniform Approximations, Econometrics (2000) View citations (27) (2000)

2001

9. THE VARIANCE OF AN INTEGRATED PROCESS NEED NOT DIVERGE TO INFINITY, AND RELATED RESULTS ON PARTIAL SUMS OF STATIONARY PROCESSES
   Econometric Theory, 2001, 17, (4), 671-685 View citations (3)