Inference for the Linear IV Model Ridge Estimator Using Training and Test Samples

The asymptotic distribution is presented for the linear instrumental variables model estimated with a ridge penalty and a prior where the tuning parameter is selected with a holdout sample. The structural parameters and the tuning parameter are estimated jointly by method of moments. A chi-squared s...

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Hlavní autoři: Fallaw Sowell, Nandana Sengupta
Médium: Článek
Jazyk:English
Vydáno: MDPI AG 2021-09-01
Edice:Stats
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On-line přístup:https://www.mdpi.com/2571-905X/4/3/43