Publications

 Peer-reviewed publications

  1. Kock, Anders Bredahl. Oracle Inequalities, Variable Selection and Uniform Inference in High-Dimensional Correlated Random Effects Panel Data Models.
    Accepted by Journal of Econometrics.

  2. Callot, Laurent, Anders Kock and Marcelo Medeiros. Estimation and Forecasting of Large Realized Covariance Matrices and Portfolio Choice.
    Accepted by Journal of Applied Econometrics
    .

  3. Callot, Laurent, Caner, Mehmet, Kock, Anders Bredahl and Juan Andres Riquelme. Sharp Threshold Detection Based on Sup-norm Error rates in High-dimensional Models.
    Accepted by Journal of Business and Economic Statistics.


  4. Caner, Mehmet and Anders Bredahl Kock. Oracle Inequalities for Convex Loss Functions with Non-Linear Targets.
    Accepted by Econometric Reviews.


  5. Kock, Anders Bredahl. Consistent and Conservative Model Selection with the Adaptive LASSO in Stationary and Nonstationary
    Autoregressions.
    Econometric Theory, Volume 32, No 1, Feb 2016, pages 243-259. Proofs, Simulations.

  6. Kock, Anders Bredahl and Teräsvirta, Timo. Forecasting Macroeconomic Variables using Neural Network Models and Three Automated Model Selection Techniques.
    Econometric Reviews, Volume 35, Issue 8-10, 2016, pages 1753-1779.

  7. Kock, Anders Bredahl and Callot, Laurent. Oracle Inequalities for High Dimensional Vector Autoregressions.
    Journal of Econometrics, 2015, volume 186, issue 2, pages 325-344.

  8. Kallestrup-Lamb, Malene, Kock, Anders Bredahl and Kristensen, Johannes Tang. Lassoing the Determinants of Retirement.
    Econometric Reviews, Volume 35, Issue 8-10, 2016, pages 1522-1561 (special issue on topics in high-dimensional econometrics).

  9. Kock, Anders Bredahl and Teräsvirta, Timo. Forecasting Performance of Three Automated Modelling Techniques During the Economic Crisis 2007-2009.
    International Journal of Forecasting, Volume 30, Issue 3, July–September 2014, Pages 616–631

  10. Callot, Laurent and Kock, Anders Bredahl. On the Oracle Property of the Grouped Adaptive LASSO for Vector Autoregressions.
    Nonlinear Time Series Econometrics, Festschrift in Honor of Timo Teräsvirta, published by Oxford University Press, 2014.

  11. Kock, Anders Bredahl. Oracle Efficient Variable Selection in Random and Fixed Effects Panel Data Models.
    Econometric Theory, 2013, volume 29, issue 01, pp 115-152.

  12. Kock, Anders Bredahl and Teräsvirta, Timo. Forecasting the Finnish Consumer Price Inflation Using Artificial Neural Network Models and Three Automated Model Selection Techniques.
    Finnish Economic Papers (invited submission), 2013 , volume 26, issue 1.

  13. Kock, Anders Bredahl. Forecasting with Universal Approximators and a Learning Algorithm.
    Journal of Time Series Econometrics, 2011, Vol. 3: Iss. 3, Article 3.

  14. Kock, Anders Bredahl and Teräsvirta, Timo. Forecasting with Nonlinear Time Series Models. Handbook chapter prepared for Oxford
    Handbook on Economic Forecasting, edited by M.P. Clements and D.F. Hendry, 2011, Oxford, University Press, Oxford.



Revise and Resubmit

  • Caner, Mehmet and Anders Bredahl Kock. Asymptotically Honest Confidence Regions for High Dimensional Parameters by the Desparsified Conservative Lasso.
    Revision submitted.

  • Kock, Anders Bredahl and Haihan Tang. Inference in High-dimensional Dynamic Panel Data Models.
    Revision submitted.




Submitted and working papers
  • Bugni, Federico, Caner, Mehmet, Kock, Anders Bredahl and Soumendra Lahiri. Inference in partially identified models with many moment inequalities using Lasso
    Submitted.

  • Kock, Anders Bredahl and David Preinerstorfer. Power in High-Dimensional Testing Problems.
    Paper.

Book reviews

  • Stationary Stochastic Processes for Scientists and Engineers, by Georg Lindgren, Holger Rootzén and Maria Sandsten.
    Review published in the American Statistician.


Work in progress (working titles)
  • Bootstrapping high-dimensional panel data models - Joint with Ulrich Hounyo.
  • Disentangling macroeconomic spill-over mechanisms in the Euro-zone - Joint with Laurent Callot.
  • Topologies generated by Kullback-Leibler divergences and their relations to econometrics - Joint with Bent Jesper Christensen and Nick Kiefer.

Permanent working papers
Kock, Anders Bredahl. Oracle Inequalities for High Dimensional Panel Data Models. This paper was substantially revised into "Oracle Inequalities, Variable Selection and Uniform Inference in High-Dimensional Correlated Random Effects Panel Data Models", published in the Journal of Econometrics.