Cover Image

Beyond the Oracle Property: Adaptive LASSO in Cointegrating Regressions with Local-to-Unity Regressors

Fuente: arXiv

Saved in:

Bibliographic Details
Main Authors:	Reichold, Karsten, Schneider, Ulrike
Format:	Preprint
Published:	2025
Subjects:	Econometrics Statistics Theory Methodology
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

A Bootstrap-Assisted Self-Normalization Approach to Inference in Cointegrating Regressions
by: Reichold, Karsten, et al.
Published: (2022)

A Residuals-Based Nonparametric Variance Ratio Test for Cointegration
by: Reichold, Karsten
Published: (2022)

On Robust Empirical Likelihood for Nonparametric Regression with Application to Regression Discontinuity Designs
by: Fang, Qin, et al.
Published: (2025)

Possibilistic Instrumental Variable Regression
by: Steiner, Gregor, et al.
Published: (2025)

Causal Interpretation of Regressions With Ranks
by: Lei, Lihua
Published: (2024)

Regression Model Selection Under General Conditions
by: Lusompa, Amaze
Published: (2025)

Robust Semiparametric Inference for Bayesian Additive Regression Trees
by: Breunig, Christoph, et al.
Published: (2025)

Regression Adjustment for Estimating Distributional Treatment Effects in Randomized Controlled Trials
by: Oka, Tatsushi, et al.
Published: (2024)

Statistically Significant Linear Regression Coefficients Solely Driven By Outliers In Finite-sample Inference
by: Reichel, Felix
Published: (2025)

Rectified Linear Unit Regression
by: Oka, Tatsushi
Published: (2026)

Local Projection Inference in High Dimensions
by: Adamek, Robert, et al.
Published: (2022)

Riesz Regression As Direct Density Ratio Estimation
by: Kato, Masahiro
Published: (2025)

Debiased Nonparametric Regression for Statistical Inference and Distributionally Robustness
by: Kato, Masahiro
Published: (2024)

A Note on Doubly Robust Estimator in Regression Discontinuity Designs
by: Kato, Masahiro
Published: (2024)

Debiased Regression for Root-N-Consistent Conditional Mean Estimation
by: Kato, Masahiro
Published: (2024)

Nearest Neighbor Matching as Least Squares Density Ratio Estimation and Riesz Regression
by: Kato, Masahiro
Published: (2025)

genriesz: A Python Package for Automatic Debiased Machine Learning with Generalized Riesz Regression
by: Kato, Masahiro
Published: (2026)

Covariate Balancing and Riesz Regression Should Be Guided by the Neyman Orthogonal Score in Debiased Machine Learning
by: Kato, Masahiro
Published: (2026)

A Test for Jumps in Metric-Space Conditional Means
by: Van Dijcke, David
Published: (2025)

Modewise Additive Factor Model for Matrix Time Series
by: Chen, Elynn, et al.
Published: (2025)

Bias correction for Chatterjee's graph-based correlation coefficient
by: Azadkia, Mona, et al.
Published: (2025)

A Note on the Finite Sample Bias in Time Series Cross-Validation
by: Lusompa, Amaze
Published: (2025)

Learning What to Learn: Experimental Design when Combining Experimental with Observational Evidence
by: Epanomeritakis, Aristotelis, et al.
Published: (2025)

Evaluating Policy Effects under Network Interference without Network Information: A Transfer Learning Approach
by: Hoshino, Tadao
Published: (2025)

Assumption-lean covariate adjustment under covariate adaptive randomization when $p = o (n)$
by: Gu, Yujia, et al.
Published: (2025)

Comparing latent inequality with ordinal data
by: Kaplan, David M., et al.
Published: (2025)

Joint Quantile Shrinkage: A State-Space Approach toward Non-Crossing Bayesian Quantile Models
by: Kohns, David, et al.
Published: (2025)

Selecting the Best Arm in One-Shot Multi-Arm RCTs: The Asymptotic Minimax-Regret Decision Framework for the Best-Population Selection Problem
by: Joo, Joonhwi
Published: (2025)

Nonparametric Identification of Demand without Exogenous Product Characteristics
by: Borusyak, Kirill, et al.
Published: (2025)

On (in)consistency of M-estimators under contamination
by: Klooster, Jens, et al.
Published: (2025)

How Much Weak Overlap Can Doubly Robust T-Statistics Handle?
by: Dorn, Jacob
Published: (2025)

Honest Inference for Stochastic Optimization
by: Takatsu, Kenta, et al.
Published: (2025)

Nonparametric Uniform Inference in Binary Classification and Policy Values
by: Liu, Nan, et al.
Published: (2025)

Partial Identification of Causal Effects for Endogenous Continuous Treatments
by: Dalal, Abhinandan, et al.
Published: (2025)

Bayesian Model Averaging in Causal Instrumental Variable Models
by: Steiner, Gregor, et al.
Published: (2025)

Estimation of High-dimensional Nonlinear Vector Autoregressive Models
by: Han, Yuefeng, et al.
Published: (2025)

Optimal estimation for regression discontinuity design with binary outcomes
by: Ishihara, Takuya, et al.
Published: (2025)

Learning Time-Varying Correlation Networks with FDR Control via Time-Varying P-values
by: Li, Bufan, et al.
Published: (2025)

Compound Estimation for Binomials
by: Chen, Yan, et al.
Published: (2025)

The Spurious Factor Dilemma: Robust Inference in Heavy-Tailed Elliptical Factor Models
by: Hu, Jiang, et al.
Published: (2025)