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...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2021-09-01
|
| Series: | Stats |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2571-905X/4/3/43 |