IDEAS home Printed from https://ideas.repec.org/p/cwl/cwldpp/1500.html
   My bibliography  Save this paper

Sparse Estimators and the Oracle Property, or the Return of Hodges' Estimator

Author

Listed:
  • Hannes Leeb

    (Dept. of Statistics, Yale University)

  • Benedikt M. Poetscher

    (Dept. of Statistics, University of Vienna)

Abstract

We point out some pitfalls related to the concept of an oracle property as used in Fan and Li (2001, 2002, 2004) which are reminiscent of the well-known pitfalls related to Hodges’ estimator. The oracle property is often a consequence of sparsity of an estimator. We show that any estimator satisfying a sparsity property has maximal risk that converges to the supremum of the loss function; in particular, the maximal risk diverges to infinity when ever the loss function is unbounded. For ease of presentation the result is set in the framework of a linear regression model, but generalizes far beyond that setting. In a Monte Carlo study we also assess the extent of the problem infinite samples for the smoothly clipped absolute deviation (SCAD) estimator introduced in Fan and Li (2001). We find that this estimator can perform rather poorly infinite samples and that its worst-case performance relative to maximum likelihood deteriorates with increasing sample size when the estimator is tuned to sparsity.

Suggested Citation

  • Hannes Leeb & Benedikt M. Poetscher, 2005. "Sparse Estimators and the Oracle Property, or the Return of Hodges' Estimator," Cowles Foundation Discussion Papers 1500, Cowles Foundation for Research in Economics, Yale University, revised Apr 2007.
    • Handle: RePEc:cwl:cwldpp:1500
    as

    Download full text from publisher

    File URL: https://cowles.yale.edu/sites/default/files/files/pub/d15/d1500.pdf
    Download Restriction: no
    ---><---

    Other versions of this item:

    References listed on IDEAS

    as
    1. Jianqing Fan & Runze Li, 2004. "New Estimation and Model Selection Procedures for Semiparametric Modeling in Longitudinal Data Analysis," Journal of the American Statistical Association, American Statistical Association, vol. 99, pages 710-723, January.
    2. Leeb, Hannes & Pötscher, Benedikt M., 2006. "Performance Limits For Estimators Of The Risk Or Distribution Of Shrinkage-Type Estimators, And Some General Lower Risk-Bound Results," Econometric Theory, Cambridge University Press, vol. 22(1), pages 69-97, February.
    3. Fan J. & Li R., 2001. "Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties," Journal of the American Statistical Association, American Statistical Association, vol. 96, pages 1348-1360, December.
    4. Jianwen Cai & Jianqing Fan & Runze Li & Haibo Zhou, 2005. "Variable selection for multivariate failure time data," Biometrika, Biometrika Trust, vol. 92(2), pages 303-316, June.
    5. Kabaila, Paul, 1995. "The Effect of Model Selection on Confidence Regions and Prediction Regions," Econometric Theory, Cambridge University Press, vol. 11(3), pages 537-549, June.
    6. Zou, Hui, 2006. "The Adaptive Lasso and Its Oracle Properties," Journal of the American Statistical Association, American Statistical Association, vol. 101, pages 1418-1429, December.
    7. Yuhong Yang, 2005. "Can the strengths of AIC and BIC be shared? A conflict between model indentification and regression estimation," Biometrika, Biometrika Trust, vol. 92(4), pages 937-950, December.
    8. Leeb, Hannes & Pötscher, Benedikt M., 2005. "Model Selection And Inference: Facts And Fiction," Econometric Theory, Cambridge University Press, vol. 21(1), pages 21-59, February.
    9. Leeb, Hannes & Pötscher, Benedikt M., 2006. "Performance Limits For Estimators Of The Risk Or Distribution Of Shrinkage-Type Estimators, And Some General Lower Risk-Bound Results," Econometric Theory, Cambridge University Press, vol. 22(1), pages 69-97, February.
    10. Bunea, Florentina & McKeague, Ian W., 2005. "Covariate selection for semiparametric hazard function regression models," Journal of Multivariate Analysis, Elsevier, vol. 92(1), pages 186-204, January.
    11. Pötscher, B.M., 1991. "Effects of Model Selection on Inference," Econometric Theory, Cambridge University Press, vol. 7(2), pages 163-185, June.
    12. Kabaila, Paul, 2002. "On Variable Selection In Linear Regression," Econometric Theory, Cambridge University Press, vol. 18(4), pages 913-925, August.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Pötscher, Benedikt M., 2007. "Confidence Sets Based on Sparse Estimators Are Necessarily Large," MPRA Paper 5677, University Library of Munich, Germany.
    2. Pötscher, Benedikt M. & Leeb, Hannes, 2009. "On the distribution of penalized maximum likelihood estimators: The LASSO, SCAD, and thresholding," Journal of Multivariate Analysis, Elsevier, vol. 100(9), pages 2065-2082, October.
    3. Xianyi Wu & Xian Zhou, 2019. "On Hodges’ superefficiency and merits of oracle property in model selection," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 71(5), pages 1093-1119, October.
    4. Xingwei Tong & Xin He & Liuquan Sun & Jianguo Sun, 2009. "Variable Selection for Panel Count Data via Non‐Concave Penalized Estimating Function," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 36(4), pages 620-635, December.
    5. Liu, Chu-An, 2015. "Distribution theory of the least squares averaging estimator," Journal of Econometrics, Elsevier, vol. 186(1), pages 142-159.
    6. Ng, Serena, 2013. "Variable Selection in Predictive Regressions," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 752-789, Elsevier.
    7. Pötscher, Benedikt M., 2006. "The Distribution of Model Averaging Estimators and an Impossibility Result Regarding Its Estimation," MPRA Paper 73, University Library of Munich, Germany, revised Jul 2006.
    8. Joseph G. Ibrahim & Hongtu Zhu & Ramon I. Garcia & Ruixin Guo, 2011. "Fixed and Random Effects Selection in Mixed Effects Models," Biometrics, The International Biometric Society, vol. 67(2), pages 495-503, June.
    9. Tae-Hwy Lee & Zhou Xi & Ru Zhang, 2013. "Testing for Neglected Nonlinearity Using Regularized Artificial Neural Networks," Working Papers 201422, University of California at Riverside, Department of Economics, revised Apr 2012.
    10. Pötscher, Benedikt M. & Schneider, Ulrike, 2007. "On the distribution of the adaptive LASSO estimator," MPRA Paper 6913, University Library of Munich, Germany.
    11. Shan Luo & Zehua Chen, 2014. "Sequential Lasso Cum EBIC for Feature Selection With Ultra-High Dimensional Feature Space," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 109(507), pages 1229-1240, September.
    12. Caner, Mehmet & Fan, Qingliang, 2015. "Hybrid generalized empirical likelihood estimators: Instrument selection with adaptive lasso," Journal of Econometrics, Elsevier, vol. 187(1), pages 256-274.
    13. Lai, Peng & Wang, Qihua & Lian, Heng, 2012. "Bias-corrected GEE estimation and smooth-threshold GEE variable selection for single-index models with clustered data," Journal of Multivariate Analysis, Elsevier, vol. 105(1), pages 422-432.
    14. Anders Bredahl Kock, 2012. "On the Oracle Property of the Adaptive Lasso in Stationary and Nonstationary Autoregressions," CREATES Research Papers 2012-05, Department of Economics and Business Economics, Aarhus University.
    15. Guang Cheng & Hao Zhang & Zuofeng Shang, 2015. "Sparse and efficient estimation for partial spline models with increasing dimension," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 67(1), pages 93-127, February.
    16. Leeb, Hannes & Pötscher, Benedikt M., 2008. "Can One Estimate The Unconditional Distribution Of Post-Model-Selection Estimators?," Econometric Theory, Cambridge University Press, vol. 24(2), pages 338-376, April.
    17. Andrews, Donald W.K. & Guggenberger, Patrik, 2009. "Incorrect asymptotic size of subsampling procedures based on post-consistent model selection estimators," Journal of Econometrics, Elsevier, vol. 152(1), pages 19-27, September.
    18. Liao, Zhipeng & Phillips, Peter C. B., 2015. "Automated Estimation Of Vector Error Correction Models," Econometric Theory, Cambridge University Press, vol. 31(3), pages 581-646, June.
    19. Smeekes, Stephan & Wijler, Etienne, 2021. "An automated approach towards sparse single-equation cointegration modelling," Journal of Econometrics, Elsevier, vol. 221(1), pages 247-276.
    20. Ricardo P. Masini & Marcelo C. Medeiros & Eduardo F. Mendes, 2023. "Machine learning advances for time series forecasting," Journal of Economic Surveys, Wiley Blackwell, vol. 37(1), pages 76-111, February.

    More about this item

    Keywords

    Oracle property; Sparsity; Penalized maximum likelihood; Penalized least squares; Hodges’ estimator; SCAD; Lasso; Bridge estimator; Hard-thresholding; Maximal risk; Maximal absolute bias; Non-uniform limits;
    All these keywords.

    JEL classification:

    • C20 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - General
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cwl:cwldpp:1500. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Brittany Ladd (email available below). General contact details of provider: https://edirc.repec.org/data/cowleus.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.