| 3. |
Some Results on omega(mu) -Metric Spaces, Annales Universitatis Scientiarum Budapestinensis 25, 1982, 3-18. (Corrections, ibid. 28, 1985, 283.) |
| 4. |
Identifiability and Inference in ARMA-Systems, (with M. Deistler and W. Ploberger), in O.D. Anderson (ed.), Time Series Analysis: Theory and Practice 2, Amsterdam: North-Holland, 1982, 43-60 |
| 5. |
Order Estimation in ARMA-Models by Lagrangian Multiplier Tests, Annals of Statistics 11, 1983, 872-885. (Corrections, ibid. 12, 1984, 785.) |
| 6. |
Uniqueness of the Transfer Function of Linear Systems from Input-Output Data, (with M. Deistler and J. Schrader), Metrika 31, 1984, 157-181 |
| 7. |
The Behaviour of the Likelihood Function for ARMA-Models, (with M. Deistler), Advances in Applied Probability 16, 1984, 843-865 |
| 8. |
The Behaviour of the Lagrangian Multiplier Test in Testing the Orders of an ARMA-Model, Metrika 32, 1985, 129-150 |
| 9. |
Moments and Order Statistics of Extinction Times in Multitype Branching Processes and their Relation to Random Selection Models, Bulletin of Mathematical Biology 47, 1985, 263-272 |
| 10. |
Ordnungsschätzung in ARMA-Modellen, Oesterreichische Zeitschrift fuer Statistik und Informatik 15, 1985, 62-74 |
| 11. |
A Class of Partially Adaptive One-Step M-Estimators for the Nonlinear Regression Model with Dependent Observations, (with I.R. Prucha), Journal of Econometrics 32, 1986, 219-251 |
| 12. |
Introduction to Special Issue 'Modeling Problems in Econometrics', (with M. Deistler), Applied Mathematics and Computation 20, 1986, 197-199 |
| 13. |
A Generalization of Urysohn's Metrization Theorem and its Set-theoretic Consequences, Studia Scientiarum Mathematicarum Hungarica 22, 1987, 457-461 |
| 14. |
Convergence Results for Maximum Likelihood Type Estimators in Multivariable ARMA-Models, Journal of Multivariate Analysis 21, 1987, 29-52 |
| 15. |
Comments on 'Towards a Theory of Point Optimal Testing' by M.L. King, Econometric Reviews 6, 1987-88, 235-239 |
| 16. |
Model Selection by Multiple Test Procedures, (with P. Bauer and P. Hackl), Statistics 19, 1988, 39-44 |
| 17. |
Discriminating between two Spectral Densities in Case of Replicated Observations, (with E. Reschenhofer), Journal of Time Series Analysis 9, 1988, 221-224 |
| 18. |
Generic Uniform Laws of Large Numbers, (with I.R. Prucha), in: Encyclopedia of Statistical Sciences, Suppl.Vol. (eds.: S.Kotz and N.L. Johnson), J.Wiley & Sons: 1989, 67-69 |
| 19. |
A Uniform Law of Large Numbers for Dependent and Heterogeneous Data Processes, (with I.R. Prucha), Econometrica 57, 1989, 675-683 |
| 20. |
Convergence Results for Maximum Likelihood Type Estimators in Multivariable ARMA Models II, (with R. Dahlhaus), Journal of Multivariate Analysis 30, 1989, 241-244 |
| 21. |
Distribution of the Coates-Diggle Test Statistic in Case of Replicated Observations, (with E. Reschenhofer), Statistics 20, 1989, 417-421 |
| 22. |
Model Selection under Nonstationarity: Autoregressive Models and Linear Stochastic Regression Models, Annals of Statistics 17, 1989, 1257-1274. |
| 23. |
Solution to Problem 88.3.1: Pseudo Orthogonality and Granger Causality in Dynamic Data, Econometric Theory 5, 1989, 456-458 |
| 24. |
Reply to Comments on 'Solution to Problem 88.3.1: Pseudo Orthogonality and Granger Causality in Dynamic Data', Econometric Theory 6, 1990, 291-292 |
| 25. |
Estimation of Autoregressive Moving Average Order Given an Infinite Number of Models and Approximation of Spectral Densities, Journal of Time Series Analysis 11, 1990, 165-179 |
| 26. |
Effects of Model Selection on Inference, Econometric Theory 7, 1991, 163-185 |
| 27. |
Letter to the Editor on 'The Impact of Model Selection on Inference in Linear Regression' by C.M. Hurvich and C.L. Tsai, American Statistician 45, 1991, 171-172 |
| 28. |
Basic Structure of the Asymptotic Theory in Dynamic Nonlinear Econometric Models, Part I: Consistency and Approximation Concepts, (with I.R. Prucha), Econometric Reviews 10, 1991, 125-216. (Reprinted in: Nonlinear Models , Vol I, H.Bierens & A.R.Gallant (eds.), The International Library of Critical Writings in Econometrics, Edward Elgar Publ. Ltd., Cheltenham, UK) |
| 29. |
Basic Structure of the Asymptotic Theory in Dynamic Nonlinear Econometric Models, Part II: Asymptotic Normality, (with I.R. Prucha), Econometric Reviews 10, 1991, 253-326. (Reprinted in: Nonlinear Models, Vol I, H.Bierens & A.R.Gallant (eds.), The International Library of Critical Writings in Econometrics, Edward Elgar Publ. Ltd., Cheltenham, UK) |
| 30. |
Reply to Discussion of 'Basic Structure of the Asymptotic Theory in Dynamic Nonlinear Econometric Models, Part I: Consistency and Approximation Concepts' and 'Basic Structure of the Asymptotic Theory in Dynamic Nonlinear Econometric Models, Part II: Asymptotic Normality', (with I.R. Prucha), Econometric Reviews 10, 1991, 349-358 |
| 31. |
Noninvertibility and Pseudo Maximum Likelihood Estimation of Misspecified ARMA Models, Econometric Theory 7, 1991, 435-449. (Corrections, ibid. 10, 1994, 811.) |
| 32. |
Batch Sequential Design for a Nonlinear Estimation Problem, (with W.Müller), in: V. Fedorov et al. (eds.), Model Oriented Data-Analysis, Physica-Verlag, 1992, 77-87 |
| 33. |
Letter to the Editor on 'On the Definition of an Evolutionarily Stable Strategy in the Playing the Field Model' by V.P.Crawford, (with I.M.Bomze), Journal of Theoretical Biology 161, 1993, 405 |
| 34. |
Solution to Problem 92.3.5: Efficiency of Maximum Likelihood, Econometric Theory 9, 1993, 535-536 |
| 35. |
Generic Uniform Convergence and Equicontinuity Concepts for Random Functions: An Exploration of the Basic Structure (with I.R.Prucha), Journal of Econometrics 60, 1994, 23-63 |
| 36. |
A Comparison of Order Estimation Procedures for ARMA Models, (with S.Srinivasan), Statistica Sinica 4, 1994, 29-50 |
| 37. |
On the Formulation of Uniform Laws of Large Numbers: A Truncation Approach, (with I.R. Prucha), Statistics 25, 1994, 343-360 |
| 38. |
On Gagnon's Critique of ARMA Models for Real GNP Growth, (with M.A.Hauser and E.Reschenhofer), Economic Notes 23, 1994, 125-129 |
| 39. |
Comment on 'Adaptive Estimation in Time Series Regression Models' by D.G.Steigerwald, Journal of Econometrics 66, 1995, 123-129 |
| 40. |
Comment on 'Assessment and Propagation of Model Uncertainty' by D.Draper, Journal of the Royal Statistical Society 57, Series B, 1995, 86 |
| 41. |
Comment on 'The Effect of Model Selection on Confidence Regions and Prediction Regions' by P.Kabaila, Econometric Theory 11, 1995, 550-559 |
| 42. |
Comment on 'Model Uncertainty, Data Mining and Statistical Inference' by C.Chatfield, Journal of the Royal Statistical Society 158, Series A, 1995, 461 |
| 43. |
Optional Skipping of Martingale Differences and Related Sequences, Metron 54, 1996, 31-36 |
| 44. |
The Distribution of Estimators after Model Selection: Large and Small Sample Results, (with A.J.Novak), Journal of Statistical Computation and Simulation 60, 1998, 19-56 |
| 45. |
Solution to Problem 97.4.2: Asymptotic Properties of the Least-Squares Estimator of the Variance in a Linear Model, Econometric Theory 14, 1998, 527-533 |
| 46. |
Measuring Persistence in Aggregate Output: ARMA Models, Fractionally Integrated ARMA Models and Nonparametric Procedures, (with M.A.Hauser and E.Reschenhofer), Empirical Economics 24, 1999, 243-269 |
| 47. |
Solution to Problem 98.1.2: Lower Eigenbound for AR(1) Disturbance Covariance Matrix, Econometric Theory 15, 1999, 156 |
| 48. |
Basic Elements of Asymptotic Theory, (with I.R.Prucha), in: B. Baltagi (ed.), A Companion to Theoretical Econometrics, Basil Blackwell, 2000, 201-229 |
| 49. |
The Variance of an Integrated Process Need Not Diverge to Infinity, and Related Results on Partial Sums of Stationary Processes, (with H. Leeb), Econometric Theory 17, 2001, 671-685 |
| 50. |
Uniform Convergence of Sample Second Moments of Families of Time Series Arrays , (with D.F.Findley and C.Z.Wei), Annals of Statistics, 29, 2001, 815-838 |
| 51. |
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, 2002, 1035-1065. Long version (working paper version) |
| 52. |
The Finite-Sample Distribution of Post-Model-Selection Estimators, and Uniform Versus Non-Uniform Approximations, (with H. Leeb), Econometric Theory, 19, 2003, 100-142. long version (ps-file 573 kB) |
| 53. |
Some Problems in Statistical Inference Following Model Selection , in: Proceedings of the 13th IFAC Symposium on System Identification, SYSID-2003, Rotterdam, August 27-29, 2003 |
| 54. |
Contributions to Econometrics, Time Series Analysis, and Systems Identification: A Festschrift in Honor of Manfred Deistler, Guest Editorial (with I.R.Prucha), Journal of Econometrics 118, 2004, 1-5 |
| 55. |
Modeling of Time Series Arrays by Multistep Prediction or Likelihood Methods, (with D.F.Findley and C.Z.Wei), Journal of Econometrics 118, 2004, 151-187 |
| 56. |
Nonlinear Functions and Convergence to Brownian Motion: Beyond the Continuous Mapping Theorem, Econometric Theory 20, 2004, 1-22 |
| 57. |
Model Selection and Inference: Facts and Fiction, (with H. Leeb), Econometric Theory 21, 2005, 29-59 |
| 58. |
Performance Limits for Estimators of the Risk or Distribution of Shrinkage-Type Estimators, and Some General Lower Risk-Bound Results, (with H. Leeb), Econometric Theory 22, 2006, 69-97. (Corrections, ibid. 24, 2008, 581-583.) |
| 59. |
Can One Estimate the Conditional Distribution of Post-Model-Selection Estimators ?, (with H.Leeb), Annals of Statistics 34, 2006, 2554-2591. long version |
| 60. |
The Distribution of Model Averaging Estimators and an Impossibility Result Regarding Its Estimation, in: H.-C. Ho, C.-K. Ing and T.-L. Lai (eds.), Time Series and Related Topics: In Memory of Ching-Zong Wei. IMS Lecture Notes and Monograph Series, Vol. 52., 2006, 113-129 |
| 61. |
Bracketing Metric Entropy Rates and Empirical Central Limit Theorems for Function Classes of Besov- and Sobolev-Type (with R. Nickl), Journal of Theoretical Probability 20, 2007, 177-199 |
| 62. |
The ET-Interview: Professor Manfred Deistler, Econometric Theory 23, 2007, 709-746 |
| 63. |
Recent Developments in Model Selection and Related Areas, (with H. Leeb), Econometric Theory, 24, 2008, 319-322 |
| 64. |
Can One Estimate the Unconditional Distribution of Post-Model-Selection Estimators ?, (with H.Leeb), Econometric Theory, 24, 2008, 338-376. full text as PDF file |
| 65. |
Sparse Estimators and the Oracle Property, or the Return of Hodges' Estimator, (with H.Leeb), Journal of Econometrics 142, 2008, 201-211 |
| 66. |
Model Selection, (with H.Leeb), in: T.G. Andersen, R.A. Davis, J.-P. Kreiss and T. Mikosch (eds.), Handbook of Financial Time Series, Springer-Verlag, 2008, 889-925. full text as PDF file |
| 67. |
Comment on 'Approximating Data' by P.L. Davies, Journal of the Korean Statistical Society 37, 2008, 227-229 |
| 68. |
On the Distribution of the Adaptive LASSO Estimator, (with U. Schneider), Journal of Statistical Planning and Inference 139, 2009, 2775-2790. |
| 69. |
On the Distribution of Penalized Maximum Likelihood Estimators: The LASSO, SCAD, and Thresholding, (with H. Leeb), Journal of Multivariate Analysis 100, 2009, 2065-2082 |
| 70. |
Confidence Sets Based on Sparse Estimators Are Necessarily Large, Sankhya 71-A, 2009, 1-18. full text as PDF file |
| 71. |
Confidence Sets Based on Penalized Maximum Likelihood Estimators, (with U. Schneider), Electronic Journal of Statistics 4, 2010, 334-360. |
| 72. |
Efficient Simulation-Based Minimum Distance Estimation and Indirect Inference, (with R. Nickl), Mathematical Methods of Statistics 19, 2010, 327-364 |
| 73. |
Non-Parametric Maximum Likelihood Density Estimation and Simulation-Based Minimum Distance Estimators, (with Florian Gach), Mathematical Methods of Statistics 20, 2011, 288-326. |
| 74. |
Distributional Results for Thresholding Estimators in High-Dimensional Gaussian Regression Models, (with Ulrike Schneider), Electronic Journal of Statistics 5, 2011, 1876-1934. |
| 75. |
On the Order of Magnitude of Sums of Negative Powers of Integrated Processes, Econometric Theory 29, 2013, 642-658 - supplementary material |
| 76. |
On Various Confidence Intervals Post-Model-Selection, (with Hannes Leeb and Karl Ewald), Statistical Science 30, 2015, 216-227 |
| 77. |
On Size and Power of Heteroskedasticity and Autocorrelation Robust Tests, (with David Preinerstorfer), Econometric Theory 32, 2016, 261–358. |
| 78. |
On the Power of Invariant Tests for Hypotheses on a Covariance Matrix, (with David Preinerstorfer), Econometric Theory 33, 2017, 1–68. full text as PDF file, supplementary material |
| 79. |
Testing in the Presence of Nuisance Parameters: Some Comments on Tests Post-Model-Selection and Random Critical Values, (with Hannes Leeb), in S. Ejaz Ahmed (ed.), Big and Complex Data Analysis: Methodology and Applications, Springer, 2017, 69-82. full text as PDF file |
| 80. |
Controlling the Size of Autocorrelation Robust Tests, (with David Preinerstorfer), Journal of Econometrics 207, 2018, 406-431. full text as PDF file |
| 81. |
Valid Confidence Intervals for Post-Model-Selection Predictors, (with François Bachoc and Hannes Leeb), Annals of Statistics, 47, 2019, 1475-1504. full text as PDF file |
| 82. |
Discussion on “Model Confidence Bounds for Variable Selection” by Yang Li, Yuetian Luo, Davide Ferrari, Xiaonan Hu, and Yichen Qin (with Hannes Leeb and Danijel Kivaranovic), Biometrics 75, 2019, 407-410. |
| 83. |
Further Results on Size and Power of Heteroskedasticity and Autocorrelation Robust Tests, with an Application to Trend Testing, (with David Preinerstorfer). Electronic Journal of Statistics 13, 2019, 3893-3942. |
| 84. |
How Reliable are Bootstrap-based Heteroskedasticity Robust Tests?, (with David Preinerstorfer). Econometric Theory 39, 2023, 789-847. |
| 85. |
Valid Heteroskedasticity Robust Testing, (with David Preinerstorfer). Econometric Theory, forthcoming. full text as PDF file. |
| 86. |
Introduction to the Special Issue "High-Dimensional Time Series in Macroeconomics and Finance", (with L. Sögner and M. Wagner), Econometrics 12(1):6, 2024. |
| 87. |
A comment on: "A Modern Gauss-Markov Theorem", (with David Preinerstorfer). Econometrica 92, 2024, 913-924, forthcoming. Long version. Related paper |
