We use cookies to distinguish you from other users and to provide you with a better experience on our websites. Close this message to accept cookies or find out how to manage your cookie settings.
An abstract is not available for this content so a preview has been provided. As you have access to this content, a full PDF is available via the ‘Save PDF’ action button.
Anderson, T. W. (1971). The statistical analysis of time series. Wiley.Google Scholar
Andrews, D. W. K. (1987). Consistency in nonlinear econometric models: A generic uniform law of large numbers. Econometrica, 55, 1465–1471.Google Scholar
Andrews, D. W. K. (1992). Generic uniform convergence. Econometric Theory, 8, 241–257.Google Scholar
Andrews, D. W. K., & Guggenberger, P. (2009). Hybrid and size-corrected subsampling methods. Econometrica, 77, 721–762.Google Scholar
Andrews, D. W. K., & Ploberger, W. (1996). Testing for serial correlation against an ARMA
$\left(1,1\right)$
process. Journal of the American Statistical Association, 91, 1331–1342.Google Scholar
Bachoc, F., Leeb, H., & Pötscher, B. M. (2019). Valid confidence intervals for post-model-selection predictors. Annals of Statistics, 47, 1475–1504.Google Scholar
Bates, C. E., & White, H. (1985). A unified theory of consistent estimation for parametric models. Econometric Theory, 1, 151–178.Google Scholar
Bauer, P., Pötscher, B. M., & Hackl, P. (1988). Model selection by multiple test procedures. Statistics, 19, 39–44.Google Scholar
Berk, R., Brown, L., Buja, A., Zhang, K., & Zhao, L. (2013). Valid post-selection inference. Annals of Statistics, 41, 802–837.Google Scholar
Bickel, P. J. (1982). On adaptive estimation. Annals of Statistics, 10, 647–671.Google Scholar
Birman, M., & Solomjak, M. Z. (1967). Piecewise polynomial approximations of functions of classes
$W^{\alpha}_{p} $
. Matematicheskii Sbornik, 73(115), 331–355.Google Scholar
Blough, S. R. (1988). On the impossibility of testing for unit roots and cointegration in finite samples.Working Paper. Johns Hopkins University.Google Scholar
Bomze, I. M., & Pötscher, B. M. (1989). Game theoretical foundations of evolutionary stability. Lecture Notes in Economics and Mathematical Systems, 324. Springer-Verlag.Google Scholar
Campbell, J. Y., & Mankiw, N. G. (1987a). Are output fluctuations transitory?Quarterly Journal of Economics, 102, 857–880.Google Scholar
Campbell, J. Y., & Mankiw, N. G. (1987b). Permanent and transitory components in macroeconomic fluctuations. American Economic Review Papers and Proceeedings, 77, 111–117.Google Scholar
Christiano, L. J., & Eichenbaum, M. (1990). Unit roots in real GNP: Do we know and do we care?Carnegie-Rochester Conference Series on Public Policy, 32, 7–62.Google Scholar
Cochrane, J. H. (1988). How big is the random walk in GNP?Journal of Political Economy, 96, 893–920.Google Scholar
Dahlhaus, R., & Pötscher, B. M. (1989). Convergence results for maximum likelihood type estimators in multivariable ARMA models II. Journal of Multivariate Analysis, 30, 241–244.Google Scholar
Deistler, M., Dunsmuir, W., & Hannan, E. J. (1978). Vector linear time series models: Corrections and extensions. Advances in Applied Probability, 10, 360–372.Google Scholar
Deistler, M., & Pötscher, B. M. (1984). The behaviour of the likelihood function for ARMA models. Advances in Applied Probability, 16, 843–866.Google Scholar
Diebold, F., & Rudebusch, G. (1989). Long memory and persistence in aggregate output. Journal of Monetary Economics, 24, 189–209.Google Scholar
Domowitz, I., & White, H. (1982). Misspecified models with dependent observations. Journal of Econometrics, 20, 35–58.Google Scholar
Dunsmuir, W., & Hannan, E. J. (1976). Vector linear time series models. Advances in Applied Probability, 8, 339–364.Google Scholar
Ensor, K. B., & Newton, H. J. (1988). The effect of order estimation on estimating the peak frequency of an autoregressive spectral density. Biometrika, 75, 587–589.Google Scholar
Fan, J., & Li, R. (2001). Variable selection via nonconcave penalized likelihood and its oracle properties. Journal of the American Statistical Association, 96, 1348–1360.Google Scholar
Faust, J. (1996). Near observational equivalence and theoretical size problems with unit root tests. Econometric Theory, 12, 724–731.Google Scholar
Findley, D. F., Pötscher, B. M., & Wei, C.-Z. (2001). Uniform convergence of sample second moments of families of time series arrays. Annals of Statistics, 29, 815–838.Google Scholar
Findley, D. F., Pötscher, B. M., & Wei, C.-Z. (2004). Modeling of time series arrays by multistep prediction or likelihood methods. Journal of Econometrics, 118, 151–187.Google Scholar
Gach, F., & Pötscher, B. M. (2011). Nonparametric maximum likelihood density estimation and simulation-based minimum distance estimators. Mathematical Methods of Statistics, 20, 288–326.Google Scholar
Hamilton, J. D. (1994). Time series analysis. Princeton University Press.Google Scholar
Hannan, E. J. (1982). Testing for autocorrelation and Akaike’s criterion. Journal of Applied Probability, 19, 403–412.Google Scholar
Hannan, E. J., & Quinn, B. G. (1979). The determination of the order of an autoregression. Journal of the Royal Statistical Society, Series B, 41, 190–195.Google Scholar
Hauser, M., Pötscher, B. M., & Reschenhofer, E. (1999). Measuring persistence in aggregate output: ARMA models, fractionally integrated ARMA models and nonparametric procedures. Empirical Economics, 24, 243–269.Google Scholar
Hoadley, B. (1971). Asymptotic properties of maximum likelihood estimators for the independent not identically distributed case. Annals of Mathematical Statistics, 42, 1977–1991.Google Scholar
Kabaila, P. (1983). Parameter values of ARMA models minimising the one-step-ahead prediction error when the true system is not in the model set. Journal of Applied Probability, 20, 405–408.Google Scholar
Kimura, M. (1982). Molecular evolution, protein polymorphism and the neutral theory. Springer-Verlag.Google Scholar
Kolmogorov, A. N., & Tihomirov, V. M. (1961).
$\varepsilon$
-entropy and
$\varepsilon$
-capacity of sets in functional spaces. American Mathematical Society Translations, 17, 277–364.Google Scholar
Leeb, H., & Pötscher, B. M. (2003). The finite-sample distribution of post-model-selection estimators, and uniform versus non-uniform approximations. Econometric Theory, 19, 100–142.Google Scholar
Leeb, H., & Pötscher, B. M. (2005). Model selection and inference: Facts and fiction. Econometric Theory, 21, 21–59.Google Scholar
Leeb, H., & Pötscher, B. M. (2006a). Can one estimate the conditional distribution of post-model-selection estimators?Annals of Statistics, 34, 2554–2591.Google Scholar
Leeb, H., & Pötscher, B. M. (2006b). Performance limits for estimators of the risk or distribution of shrinkage-type estimators, and some general lower risk-bound results. Econometric Theory, 22, 69–97. (Correction, ibid., 24, 581–583).Google Scholar
Leeb, H., & Pötscher, B. M. (2008a). Can one estimate the unconditional distribution of post-model-selection estimators?Econometric Theory, 24, 338–376.Google Scholar
Leeb, H., & Pötscher, B. M. (2008b). Sparse estimators and the oracle property, or the return of Hodges’ estimator. Journal of Econometrics, 142, 201–211.Google Scholar
Leeb, H., & Pötscher, B. M. (2017). Testing in the presence of nuisance parameters: Some comments on tests post-model-selection and random critical values. In Ahmed, S. (Eds.), Big and complex data analysis (pp. 69–82). Contributions to Statistics. Springer.Google Scholar
Leeb, H., Pötscher, B. M., & Ewald, K. (2015). On various confidence intervals post-model-selection. Statistical Science, 30, 216–227.Google Scholar
Manski, C. F. (1984). Adaptive estimation of nonlinear regression models. Econometric Reviews, 3, 145–210.Google Scholar
Nelson, C. R., & Plosser, C. I. (1982). Trends and random walks in macroeconomic time series: Some evidence and implications. Journal of Monetary Economics, 10, 139–162.Google Scholar
Newey, W. K. (1991). Uniform convergence in probability and stochastic equicontinuity. Econometrica, 59, 1161–1167.Google Scholar
Nickl, R. (2003). Asymptotic distribution theory of post-model-selection maximum likelihood estimators. Master’s thesis, University of Vienna.Google Scholar
Nickl, R. (2007). Donsker-type theorems for nonparametric maximum likelihood estimators. Probability Theory and Related Fields, 138, 411–449. (Erratum, ibid., 141, 331–332).Google Scholar
Nickl, R., & Pötscher, B. M. (2007). Bracketing metric entropy rates and empirical central limit theorems for function classes of Besov- and Sobolev-type. Journal of Theoretical Probability, 20, 177–199.Google Scholar
Nickl, R., & Pötscher, B. M. (2010). Efficient simulation-based minimum distance estimation and indirect inference. Mathematical Methods of Statistics, 19, 327–364.Google Scholar
Owen, G. (1968). Game theory. W. B. Saunders Co.Google Scholar
Perron, P., & Ren, L. (2011). On the irrelevance of impossibility theorems: The case of the long-run variance. Journal of Time Series Econometrics, 3, 3(3).Google Scholar
Pötscher, B. M. (1982). Some results on
${\omega}_{\mu }$
-metric spaces. Annales Universitatis Scientiarum Budapestinensis de Rolando Eötvös Nominatae. Sectio Mathematica, 25, 3–18. (Correction, ibid., 28, 283).Google Scholar
Pötscher, B. M. (1983). Order estimation in ARMA-models by Lagrangian multiplier tests. Annals of Statistics, 11, 872–885. (Correction, ibid., 12, 785).Google Scholar
Pötscher, B. M. (1985a). The behaviour of the Lagrangian multiplier test in testing the orders of an ARMA-model. Metrika, 32, 129–150.Google Scholar
Pötscher, B. M. (1985b). Moments and order statistics of extinction times in multitype branching processes and their relation to random selection models. Bulletin of Mathematical Biology, 47, 263–272.Google Scholar
Pötscher, B. M. (1987a). Convergence results for maximum likelihood type estimators in multivariable ARMA models. Journal of Multivariate Analysis, 21, 29–52.Google Scholar
Pötscher, B. M. (1987b). A generalization of Urysohn’s metrization theorem and its set-theoretic consequences. Studia Scientiarum Mathematicarum Hungarica, 22, 457–461.Google Scholar
Pötscher, B. M. (1989). Model selection under nonstationarity: Autoregressive models and stochastic linear regression models. Annals of Statistics, 17, 1257–1274.Google Scholar
Pötscher, B. M. (1990). Estimation of autoregressive moving-average order given an infinite number of models and approximation of spectral densities. Journal of Time Series Analysis, 11, 165–179.Google Scholar
Pötscher, B. M. (1991a). Effects of model selection on inference. Econometric Theory, 7, 163–185.Google Scholar
Pötscher, B. M. (1991b). Noninvertibility and pseudo-maximum likelihood estimation of misspecified ARMA models. Econometric Theory, 7, 435–449. (Corrigendum, ibid., 10, 811).Google Scholar
Pötscher, B. M. (2002). 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, 70, 1035–1065.Google Scholar
Pötscher, B. M. (2006). The distribution of model averaging estimators and an impossibility result regarding its estimation. IMS Lecture Notes - Monograph Series, 52, 113–129.Google Scholar
Pötscher, B. M. (2009). Confidence sets based on sparse estimators are necessarily large. Sankhya, 71-A, 1–18.Google Scholar
Pötscher, B. M., & Leeb, H. (2009). On the distribution of penalized maximum likelihood estimators: The LASSO, SCAD, and thresholding. Journal of Multivariate Analysis, 100, 2065–2082.Google Scholar
Pötscher, B. M., & Preinerstorfer, D. (2018). Controlling the size of autocorrelation robust tests. Journal of Econometrics, 207, 406–431.Google Scholar
Pötscher, B. M., & Preinerstorfer, D. (2019). Further results on size and power of heteroskedasticity and autocorrelation robust tests, with an application to trend testing. Electronic Journal of Statistics, 13, 3893–3942.Google Scholar
Pötscher, B. M., & Preinerstorfer, D. (2021). Valid heteroskedasticity robust testing. Econometric Theory. Published online by Cambridge University Press: 11 September 2023, 1–53.Google Scholar
Pötscher, B. M., & Preinerstorfer, D. (2023). How reliable are bootstrap-based heteroskedasticity robust tests?Econometric Theory, 39, 789–847.Google Scholar
Pötscher, B. M., & Prucha, I. R. (1986a). A class of partially adaptive one-step
$M$
-estimators for the nonlinear regression model with dependent observations. Journal of Econometrics, 32, 219–251.Google Scholar
Pötscher, B. M., & Prucha, I. R. (1986b). Consistency in nonlinear econometrics: A generic uniform law of large numbers and some comments on recent results. Working Paper No 86-9.Department of Economics, University of Maryland.Google Scholar
Pötscher, B. M., & Prucha, I. R. (1989). A uniform law of large numbers for dependent and heterogeneous data processes. Econometrica, 57, 675–683.Google Scholar
Pötscher, B. M., & Prucha, I. R. (1991a). Basic structure of the asymptotic theory in dynamic nonlinear econometric models. I. Consistency and approximation concepts. Econometric Reviews, 10, 125–216.Google Scholar
Pötscher, B. M., & Prucha, I. R. (1991b). Basic structure of the asymptotic theory in dynamic nonlinear econometric models II. Asymptotic normality.. Econometric Reviews, 10, 253–357.Google Scholar
Pötscher, B. M., & Prucha, I. R. (1994a). Generic uniform convergence and equicontinuity concepts for random functions: An exploration of the basic structure. Journal of Econometrics, 60, 23–63.Google Scholar
Pötscher, B. M., & Prucha, I. R. (1994b). On the formulation of uniform laws of large numbers: A truncation approach. Statistics, 25, 343–360.Google Scholar
Pötscher, B. M., & Prucha, I. R. (1997). Dynamic nonlinear econometric models: Asymptotic theory. Springer-Verlag.Google Scholar
Pötscher, B. M., & Schneider, U. (2009). On the distribution of the adaptive LASSO estimator. Journal of Statistical Planning and Inference, 139, 2775–2790.Google Scholar
Pötscher, B. M., & Schneider, U. (2010). Confidence sets based on penalized maximum likelihood estimators in Gaussian regression. Electronic Journal of Statistics, 4, 334–360.Google Scholar
Pötscher, B. M., & Schneider, U. (2011). Distributional results for thresholding estimators in high-dimensional Gaussian regression models. Electronic Journal of Statistics, 5, 1876–1934.Google Scholar
Pötscher, B. M., & Srinivasan, S. (1994). A comparison of order estimation procedures for ARMA models. Statistica Sinica, 4, 29–50.Google Scholar
Preinerstorfer, D. (2017). Finite sample properties of tests based on prewhitened nonparametric covariance estimators. Electronic Journal of Statistics, 11, 2097–2167.Google Scholar
Preinerstorfer, D., & Pötscher, B. M. (2016). On size and power of heteroskedasticity and autocorrelation robust tests. Econometric Theory, 32, 261–358.Google Scholar
Preinerstorfer, D., & Pötscher, B. M. (2017). On the power of invariant tests for hypotheses on a covariance matrix. Econometric Theory, 33, 1–68.Google Scholar
Prucha, I. R., & Kelejian, H. H. (1984). The structure of simultaneous equation estimators: A generalization towcards nonnormal disturbances. Econometrica, 52, 721–736.Google Scholar
Schuster, P., & Sigmund, K. (1984). Random selection – a simple model based on linear birth and death processes. Bulletin of Mathematical Biology, 46, 11–17.Google Scholar
Sen, P. K. (1979). Asymptotic properties of maximum likelihood estimators based on conditional specification. Annals of Statistics, 7, 1019–1033.Google Scholar
Sewastjanow, B. A. (1974). Verzweigungsprozesse, vol. 34 of Mathematische Lehrbücher und Monographien, II. Abteilung: Mathematische Monographien. Akademie-Verlag,
Berlin.Google Scholar
Tanaka, K., & Satchell, S. E. (1989). Asymptotic properties of the maximum-likelihood and nonlinear least-squares estimators for noninvertible moving average models. Econometric Theory, 5, 333–353.Google Scholar
White, H. (1980). Nonlinear regression on cross-section data. Econometrica, 48, 721–746.Google Scholar
White, H., & Domowitz, I. (1984). Nonlinear regression with dependent observations. Econometrica, 52, 143–161.Google Scholar
Willard, S. (1970). General topology. Addison-Wesley Publishing Co., Reading, Mass.-London-Don Mills, Ont.Google Scholar