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SEAM Statistics, Econometrics, and Applied Mathematics
HOME Impressum Researchers PÖTSCHER •CV •prof. activities • publications JOHNSON ZWATZ Staff EWALD Activities Research Projects Links ISOR University of Vienna
o.Univ.Prof. Dr. Benedikt M. PÖTSCHER
Scientific Publications
A.
Books:
1.
"Game Theoretical Foundations of Evolutionary Stability", (with I.M. Bomze), Lecture Notes in Economics and Mathematical Systems, Vol. 324, Springer-Verlag: 1989.
2.
"Dynamic Nonlinear Econometric Models: Asymptotic Theory", (with I.R. Prucha), Springer-Verlag: 1997.
B.
Articles:
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, 157181.
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.
"A Generalization of Urysohn's Metrization Theorem and its Set-theoretic Consequences", Studia Scientiarum Mathematicarum Hungarica 22, 1987, 457-461.
13.
"Convergence Results for Maximum Likelihood Type Estimators in Multivariable ARMA-Models", Journal of Multivariate Analysis 21, 1987, 29-52.
14.
"Model Selection by Multiple Test Procedures", (with P. Bauer and P. Hackl), Statistics 19, 1988, 39-44.
15.
"Comments on 'Towards a Theory of Point Optimal Testing' by M.L. King", Econometric Reviews 6, 1987-88, 235-239.
16.
"Discriminating between two Spectral Densities in Case of Replicated Observations", (with E. Reschenhofer), Journal of Time Series Analysis 9, 1988, 221-224.
17.
"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.
18.
"A Uniform Law of Large Numbers for Dependent and Heterogeneous Data Processes", (with I.R. Prucha), Econometrica 57, 1989, 675683.
19.
"Convergence Results for Maximum Likelihood Type Estimators in Multivariable ARMA Models II", (with R. Dahlhaus), Journal of Multivariate Analysis 30, 1989, 241-244.
20.
"Distribution of the Coates-Diggle Test Statistic in Case of Replicated Observations", (with E. Reschenhofer), Statistics 20, 1989, 417-421.
21.
"Model Selection under Nonstationarity: Autoregressive Models and Linear Stochastic Regression Models", Annals of Statistics 17, 1989, 1257-1274.
22.
"Solution to Problem 88.3.1: Pseudo Orthogonality and Granger Causality in Dynamic Data", Econometric Theory 5, 1989, 456-458.
23.
"Reply to Comments on 'Solution to Problem 88.3.1: Pseudo Orthogonality and Granger Causality in Dynamic Data'", Econometric Theory 6, 1990, 291-292.
24.
"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.
25.
"Effects of Model Selection on Inference", Econometric Theory 7, 1991, 163-185.
26.
"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.
27.
"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)
28.
"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)
29.
"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.
30.
"Noninvertibility and Pseudo Maximum Likelihood Estimation of Misspecified ARMA Models", Econometric Theory 7, 1991, 435-449. (Corrections, ibid. 10, 1994, 811.)
31.
"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.
32.
"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.
33.
"Solution to Problem 92.3.5: Efficiency of Maximum Likelihood", Econometric Theory 9, 1993, 535-536.
34.
"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.
35.
"A Comparison of Order Estimation Procedures for ARMA Models", (with S.Srinivasan), Statistica Sinica 4, 1994, 29-50.
36.
"On the Formulation of Uniform Laws of Large Numbers: A Truncation Approach", (with I.R. Prucha), Statistics 25, 1994, 343-360.
37.
"On Gagnon's Critique of ARMA Models for Real GNP Growth", (with M.A.Hauser and E.Reschenhofer), Economic Notes 23, 1994, 125129.
38.
"Comment on 'Adaptive Estimation in Time Series Regression Models' by D.G.Steigerwald", Journal of Econometrics 66, 1995, 123-129.
39.
"Comment on 'Assessment and Propagation of Model Uncertainty' by D.Draper", Journal of the Royal Statistical Society 57, Series B, 1995, 86.
40.
"Comment on 'The Effect of Model Selection on Confidence Regions and Prediction Regions' by P.Kabaila", Econometric Theory 11, 1995, 550-559.
41.
"Comment on 'Model Uncertainty, Data Mining and Statistical Inference' by C.Chatfield", Journal of the Royal Statistical Society 158, Series A, 1995, 461.
42.
"Optional Skipping of Martingale Differences and Related Sequences", Metron 54, 1996, 31-36.
43.
"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.
44.
"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.
45.
"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.
46.
"Solution to Problem 98.1.2: Lower Eigenbound for AR(1) Disturbance Covariance Matrix", Econometric Theory 15, 1999, 156.
47.
"Basic Elements of Asymptotic Theory", (with I.R.Prucha), in: B. Baltagi (ed.), A Companion to Theoretical Econometrics, Basil Blackwell, 2000.
48.
"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.
49.
"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.
50.
"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).
51.
"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)
52.
"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.
53.
"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.
54.
"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.
55.
"Nonlinear Functions and Convergence to Brownian Motion: Beyond the Continuous Mapping Theorem", Econometric Theory 20, 2004, 122.
56.
"Model Selection and Inference: Facts and Fiction", (with H. Leeb), Econometric Theory 21, 2005, 29-59.
57.
"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., forthcoming.)
58.
"Can One Estimate the Conditional Distribution of Post-Model-Selection Estimators ?", (with H.Leeb), Annals of Statistics 34, 2006, 25542591. long version
59.
"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.
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.
"The ET-Interview: Professor Manfred Deistler", Econometric Theory 23, 2007, 709-746.
62.
"Recent Developments in Model Selection and Related Areas", (with H. Leeb), Econometric Theory, 24, 2008, 319-322.
63.
"Can One Estimate the Unconditional Distribution of Post-Model-Selection Estimators ?", (with H.Leeb), Econometric Theory, 24, 2008, 338376. full text as PDF file
64.
"Sparse Estimators and the Oracle Property, or the Return of Hodges' Estimator", (with H.Leeb), Journal of Econometrics 142, 2008, 201211.
65.
"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. full text as PDF file
66.
"Comment on 'Approximating Data' by P.L. Davies", Journal of the Korean Statistical Society 37, 2008, 227-229.
67.
"On the Distribution of the Adaptive LASSO Estimator", (with U. Schneider), Journal of Statistical Planning and Inference 139, 2009, 27752790.
68.
"On the Distribution of Penalized Maximum Likelihood Estimators: The LASSO, SCAD, and Thresholding", (with H. Leeb), Journal of Multivariate Analysis 100, 2009, 2065-2082.
69.
"Confidence Sets Based on Sparse Estimators Are Necessarily Large", Sankhya 71-A, 2009, 1-18. full text as PDF file
70.
"Confidence Sets Based on Penalized Maximum Likelihood Estimators", (with U. Schneider), Electronic Journal of Statistics 4, 2010, 334360.
71.
"Efficient Simulation-Based Minimum Distance Estimation and Indirect Inference", (with R. Nickl), Mathematical Methods of Statistics 19, 2010, 327-364.
72.
"Non-Parametric Maximum Likelihood Density Estimation and Simulation-Based Minimum Distance Estimators", (with Florian Gach), Mathematical Methods of Statistics 20, 2011, 288-326.
73.
"Distributional Results for Thresholding Estimators in High-Dimensional Gaussian Regression Models", (with Ulrike Schneider), Electronic Journal of Statistics 5, 2011, 1876-1934.
74.
"On the Order of Magnitude of Sums of Negative Powers of Integrated Processes", Econometric Theory 29, 2013, 642-658. supplementary material
75.
"On Size and Power of Heteroskedasticity and Autocorrelation Robust Tests", (with David Preinerstorfer), Econometric Theory 32, 2016, 261–358.
76.
"On Various Confidence Intervals Post-Model-Selection", (with Hannes Leeb and Karl Ewald), Statistical Science 30, 2015, 216-227.
77.
"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
78.
"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. full text as PDF file
C.
Papers submitted:
79.
"Valid Confidence Intervals for Post-Model-Selection Predictors", (with François Bachoc and Hannes Leeb). full text as PDF file
80.
"Controlling the Size of Autocorrelation Robust Tests", (with David Preinerstorfer). full text as PDF file
81.
"Further Results on Size and Power of Heteroskedasticity and Autocorrelation Robust Tests, with an Application to Trend Testing", (with David Preinerstorfer). full text as PDF file
D.
Other unpublished papers:
82.
"Non-numerical Distance Functions in Topology, a Survey and Bibliography Furnished with Short Notes and Comments on Most of the Papers Listed Herein", (with H.-C. Reichel and R. Schmid-Zartner), Dept. of Mathematics Working Paper, University of Vienna, 1985.
83.
"Consistency in Nonlinear Econometrics: A Generic Uniform Law of Large Numbers and Some Comments on Recent Results", (with I.R. Prucha), Dept. of Economics Working Paper No. 86-9, University of Maryland, 1986.
84.
"Solution to Problem 93.1.3: Efficiency as Correlation", Mimeo, 1993.
85.
"Learning Trigonometric Polynomials from Random Samples and Exponential Inequalities for Eigenvalues of Random Matrices", (with K.Gröchenig and H.Rauhut), manuscript 2007. full text as PDF file
E. Book Reviews: "Stationary Sequences and Random Fields by M. Rosenblatt, Birkhäuser Verlag, Basel, 1985" Oesterreichische Zeitschrift fuer Statistik und Informatik 16, 1986. "Robust and Nonlinear Time Series Analysis, J. Franke, W.Härdle, D. Martin (eds.), Lecture Notes in Statistics, 26, Springer Verlag, Berlin, 1984" Oesterreichische Zeitschrift fuer Statistik und Informatik 16, 1986. "Time Series in the Time Domain, E.J. Hannan, P.R. Krishnaiah, M.M. Rao (eds.), Handbook of Statistics 5, North-Holland, Amsterdam, 1985" Monatshefte für Mathematik 103, 1987. "Nonlinear Statistical Models by A.R. Gallant, Wiley&Sons, New York, 1986", Econometric Theory 4, 1988. "Differentialspiele - die Analyse dynamischer Konfliktsituationen, Mathematical Systems in Economics, Band 95, Athenäum/Hain, Königstein/Ts.,1985", Oesterreichische Zeitschrift fuer Statistik und Informatik 18, 1988. "Seemingly Unrelated Regressions Equations Models by V.K.Srivastava and D.E.A.Giles, M.Dekker, New York, 1987", Monatshefte fuer Mathematik, 1989. "Correlation Theory of Stationary and Related Random Functions I, Basic Results by A.M.Yaglom, Springer Verlag, Heidelberg, 1987", Oesterreichische Zeitschrift für Statistik und Informatik, 1990. "Introduction to Statistical Inference by J.C.Kiefer, Springer Verlag, N.Y., 1987", Oesterreichische Zeitschrift fuer Statistik und Informatik, 1990. "From Data to Model, by J.C.Willems (ed.), Springer Verlag, Berlin, 1989", Metrika, 1990. "Time Series Analysis by J.D.Hamilton, Princeton University Press, Princeton, 1994", Journal of the American Statistical Association 91, 1996, 439440.