Details about Benedikt M. Pötscher

E-mail:
Homepage:	https://seam.univie.ac.at/statistics-econometrics-and-applied-mathematics-seam/researchers/poetscher
Phone:	(+43 1) 427738640
Postal address:	Department of Statistics, University of Vienna, Oskar-Morgenstern-Platz 1, A-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 Benedikt M. Pötscher.

Last updated 2025-03-14. Update your information in the RePEc Author Service.

Short-id: ppt1

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Working Papers

2024

1. A Necessary and Sufficient Condition for Size Controllability of Heteroskedasticity Robust Test Statistics
   Papers, arXiv.org
2. Comments on B. Hansen's Reply to "A Comment on: `A Modern Gauss-Markov Theorem'", and Some Related Discussion
   Papers, arXiv.org
   Also in MPRA Paper, University Library of Munich, Germany (2024)

2023

3. A Modern Gauss-Markov Theorem? Really?
   Papers, arXiv.org
   Also in MPRA Paper, University Library of Munich, Germany (2022) View citations (2)
   MPRA Paper, University Library of Munich, Germany (2022) View citations (2)
4. Valid Heteroskedasticity Robust Testing
   Papers, arXiv.org View citations (1)
   Also in MPRA Paper, University Library of Munich, Germany (2023) View citations (1)
   MPRA Paper, University Library of Munich, Germany (2021)

2021

5. How Reliable are Bootstrap-based Heteroskedasticity Robust Tests?
   Papers, arXiv.org View citations (1)
   Also in MPRA Paper, University Library of Munich, Germany (2020) View citations (3)
   See also Journal Article HOW RELIABLE ARE BOOTSTRAP-BASED HETEROSKEDASTICITY ROBUST TESTS?, Econometric Theory, Cambridge University Press (2023) View citations (1) (2023)

2018

6. Comment on "Model Confidence Bounds for Variable Selection" by Yang Li, Yuetian Luo, Davide Ferrari, Xiaonan Hu, and Yichen Qin
   MPRA Paper, University Library of Munich, Germany

2017

7. Further Results on Size and Power of Heteroskedasticity and Autocorrelation Robust Tests, with an Application to Trend Testing
   MPRA Paper, University Library of Munich, Germany View citations (1)

2016

8. Controlling the Size of Autocorrelation Robust Tests
   MPRA Paper, University Library of Munich, Germany View citations (1)
   See also Journal Article Controlling the size of autocorrelation robust tests, Journal of Econometrics, Elsevier (2018) View citations (15) (2018)

2014

9. On the Power of Invariant Tests for Hypotheses on a Covariance Matrix
   MPRA Paper, University Library of Munich, Germany View citations (1)
   See also Journal Article ON THE POWER OF INVARIANT TESTS FOR HYPOTHESES ON A COVARIANCE MATRIX, Econometric Theory, Cambridge University Press (2017) View citations (4) (2017)
10. On various confidence intervals post-model-selection
    MPRA Paper, University Library of Munich, Germany
    Also in MPRA Paper, University Library of Munich, Germany (2014)
11. Valid confidence intervals for post-model-selection predictors
    MPRA Paper, University Library of Munich, Germany View citations (1)

2013

12. On Size and Power of Heteroscedasticity and Autocorrelation Robust Tests
    MPRA Paper, University Library of Munich, Germany View citations (2)
    See also Journal Article ON SIZE AND POWER OF HETEROSKEDASTICITY AND AUTOCORRELATION ROBUST TESTS, Econometric Theory, Cambridge University Press (2016) View citations (16) (2016)

2012

13. 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)

2011

14. Distributional results for thresholding estimators in high-dimensional Gaussian regression models
    MPRA Paper, University Library of Munich, Germany View citations (5)
15. On the Order of Magnitude of Sums of Negative Powers of Integrated Processes
    MPRA Paper, University Library of Munich, Germany
    See also Journal Article ON THE ORDER OF MAGNITUDE OF SUMS OF NEGATIVE POWERS OF INTEGRATED PROCESSES, Econometric Theory, Cambridge University Press (2013) (2013)

2010

16. Non-Parametric Maximum Likelihood Density Estimation and Simulation-Based Minimum Distance Estimators
    MPRA Paper, University Library of Munich, Germany View citations (1)

2009

17. Efficient Simulation-Based Minimum Distance Estimation and Indirect Inference
    MPRA Paper, University Library of Munich, Germany View citations (1)

2008

18. Confidence sets based on penalized maximum likelihood estimators
    MPRA Paper, University Library of Munich, Germany View citations (7)

2007

19. Confidence Sets Based on Sparse Estimators Are Necessarily Large
    MPRA Paper, University Library of Munich, Germany View citations (4)
20. 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)
21. On the distribution of the adaptive LASSO estimator
    MPRA Paper, University Library of Munich, Germany View citations (15)
22. 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

23. The Distribution of Model Averaging Estimators and an Impossibility Result Regarding Its Estimation
    MPRA Paper, University Library of Munich, Germany View citations (14)

2005

24. 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)

2003

25. 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
    See also Journal Article PERFORMANCE LIMITS FOR ESTIMATORS OF THE RISK OR DISTRIBUTION OF SHRINKAGE-TYPE ESTIMATORS, AND SOME GENERAL LOWER RISK-BOUND RESULTS, Econometric Theory, Cambridge University Press (2006) View citations (10) (2006)

2001

26. Nonlinear Functions and Convergence to Brownian Motion: Beyond the Continuous Mapping Theorem
    Vienna Economics Papers, University of Vienna, Department of Economics
    See also Journal Article NONLINEAR FUNCTIONS AND CONVERGENCE TO BROWNIAN MOTION: BEYOND THE CONTINUOUS MAPPING THEOREM, Econometric Theory, Cambridge University Press (2004) View citations (18) (2004)

2000

27. 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

28. Basic Elements of Asymptotic Theory
    Electronic Working Papers, University of Maryland, Department of Economics View citations (3)
29. 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
    See also Journal Article 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, Econometric Society (2002) View citations (16) (2002)
30. The variance of an integrated process need not diverge to infinity
    Econometrics, University Library of Munich, Germany View citations (3)

1994

31. On the Formulation of Uniform Laws of Large Numbers: A Truncation Approach
    NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations (2)

1987

32. A Uniform Law of Large Numbers for Dependent and Heterogeneous Data Process
    Working Papers, C.V. Starr Center for Applied Economics, New York University View citations (1)
    See also Journal Article A Uniform Law of Large Numbers for Dependent and Heterogeneous Data Processes, Econometrica, Econometric Society (1989) View citations (28) (1989)

Journal Articles

2024

1. A Comment on: “A Modern Gauss–Markov Theorem”
   Econometrica, 2024, 92, (3), 913-924
2. Introduction to the Special Issue “High-Dimensional Time Series in Macroeconomics and Finance”
   Econometrics, 2024, 12, (1), 1-2

2023

3. HOW RELIABLE ARE BOOTSTRAP-BASED HETEROSKEDASTICITY ROBUST TESTS?
   Econometric Theory, 2023, 39, (4), 789-847 View citations (1)
   See also Working Paper How Reliable are Bootstrap-based Heteroskedasticity Robust Tests?, Papers (2021) View citations (1) (2021)

2019

4. Discussion on “Model confidence bounds for variable selection” by Yang Li, Yuetian Luo, Davide Ferrari, Xiaonan Hu, and Yichen Qin
   Biometrics, 2019, 75, (2), 407-410

2018

5. Controlling the size of autocorrelation robust tests
   Journal of Econometrics, 2018, 207, (2), 406-431 View citations (15)
   See also Working Paper Controlling the Size of Autocorrelation Robust Tests, MPRA Paper (2016) View citations (1) (2016)

2017

6. ON THE POWER OF INVARIANT TESTS FOR HYPOTHESES ON A COVARIANCE MATRIX
   Econometric Theory, 2017, 33, (1), 1-68 View citations (4)
   See also Working Paper On the Power of Invariant Tests for Hypotheses on a Covariance Matrix, MPRA Paper (2014) View citations (1) (2014)

2016

7. ON SIZE AND POWER OF HETEROSKEDASTICITY AND AUTOCORRELATION ROBUST TESTS
   Econometric Theory, 2016, 32, (2), 261-358 View citations (16)
   See also Working Paper On Size and Power of Heteroscedasticity and Autocorrelation Robust Tests, MPRA Paper (2013) View citations (2) (2013)

2013

8. ON THE ORDER OF MAGNITUDE OF SUMS OF NEGATIVE POWERS OF INTEGRATED PROCESSES
   Econometric Theory, 2013, 29, (3), 642-658
   See also Working Paper On the Order of Magnitude of Sums of Negative Powers of Integrated Processes, MPRA Paper (2011) (2011)

2009

9. 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

10. 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)
11. 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
12. 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)

2007

13. Bracketing Metric Entropy Rates and Empirical Central Limit Theorems for Function Classes of Besov- and Sobolev-Type
    Journal of Theoretical Probability, 2007, 20, (2), 177-199 View citations (4)
14. THE ET INTERVIEW: PROFESSOR MANFRED DEISTLER: Interviewed by Benedikt M. Pötscher
    Econometric Theory, 2007, 23, (4), 711-748

2006

15. 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)
    See also Working Paper Performance Limits for Estimators of the Risk or Distribution of Shrinkage-Type Estimators, and Some General Lower Risk-Bound Results, Vienna Economics Papers (2003) (2003)

2005

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

2004

17. 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 View citations (1)
18. Modeling of time series arrays by multistep prediction or likelihood methods
    Journal of Econometrics, 2004, 118, (1-2), 151-187 View citations (5)
19. NONLINEAR FUNCTIONS AND CONVERGENCE TO BROWNIAN MOTION: BEYOND THE CONTINUOUS MAPPING THEOREM
    Econometric Theory, 2004, 20, (1), 1-22 View citations (18)
    See also Working Paper Nonlinear Functions and Convergence to Brownian Motion: Beyond the Continuous Mapping Theorem, Vienna Economics Papers (2001) (2001)

2003

20. 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)

2002

21. 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 View citations (16)
    See also Working Paper 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 (1999) (1999)

2001

22. 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)

1999

23. Measuring persistence in aggregate output: ARMA models, fractionally integrated ARMA models and nonparametric procedures
    Empirical Economics, 1999, 24, (2), 243-269 View citations (26)

1995

24. Comment on 'Adaptive estimation in time series regression models' by D.G. Steigerwald
    Journal of Econometrics, 1995, 66, (1-2), 123-129 View citations (3)
25. Comment on “The Effect of Model Selection on Confidence Regions and Prediction Regions” by P. Kabaila
    Econometric Theory, 1995, 11, (3), 550-559 View citations (1)

1994

26. Generic uniform convergence and equicontinuity concepts for random functions: An exploration of the basic structure
    Journal of Econometrics, 1994, 60, (1-2), 23-63 View citations (11)

1992

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

1991

28. Effects of Model Selection on Inference
    Econometric Theory, 1991, 7, (2), 163-185 View citations (59)
29. Noninvertibility and Pseudo-Maximum Likelihood Estimation of Misspecified ARMA Models
    Econometric Theory, 1991, 7, (4), 435-449 View citations (8)

1990

30. ESTIMATION OF AUTOREGRESSIVE MOVING‐AVERAGE ORDER GIVEN AN INFINITE NUMBER OF MODELS AND APPROXIMATION OF SPECTRAL DENSITIES
    Journal of Time Series Analysis, 1990, 11, (2), 165-179 View citations (7)

1989

31. A Uniform Law of Large Numbers for Dependent and Heterogeneous Data Processes
    Econometrica, 1989, 57, (3), 675-83 View citations (28)
    See also Working Paper A Uniform Law of Large Numbers for Dependent and Heterogeneous Data Process, Working Papers (1987) View citations (1) (1987)
32. Convergence results for maximum likelihood type estimators in multivariable ARMA models II
    Journal of Multivariate Analysis, 1989, 30, (2), 241-244 View citations (2)
    Also in Journal of Multivariate Analysis, 1987, 21, (1), 29-52 (1987) View citations (3)

1988

33. DISCRIMINATING BETWEEN TWO SPECTRAL DENSITIES IN CASE OF REPLICATED OBSERVATIONS
    Journal of Time Series Analysis, 1988, 9, (3), 221-224 View citations (3)
34. Nonlinear Statistical Models by A. Ronald Gallant John Wiley & Sons, 1986
    Econometric Theory, 1988, 4, (1), 183-186

1986

35. 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 View citations (16)

1985

36. 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 View citations (3)

1984

37. 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