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

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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Detaylı Bibliyografya
Asıl Yazarlar: Fallaw Sowell, Nandana Sengupta
Materyal Türü: Makale
Dil:English
Baskı/Yayın Bilgisi: MDPI AG 2021-09-01
Seri Bilgileri:Stats
Konular:
ridge regression
holdout sample
method of moments
asymptotic distribution
confidence region
Online Erişim:https://www.mdpi.com/2571-905X/4/3/43

Internet

https://www.mdpi.com/2571-905X/4/3/43

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