Caner, Mehmet; Kock, Anders Bredahl - School of Economics and Management, University of Aarhus - 2014
conservative Lasso which penalizes more correctly than the Lasso and hence has a lower estimation error. In particular, we develop … an oracle inequality for the conservative Lasso only assuming the existence of a certain number of moments. This is done …, we desparsify the conservative Lasso estimator and derive the asymptotic distribution of tests involving an increasing …
