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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書目詳細資料
Main Authors: Fallaw Sowell, Nandana Sengupta
格式: Article
語言:English
出版: MDPI AG 2021-09-01
叢編:Stats
主題:
在線閱讀:https://www.mdpi.com/2571-905X/4/3/43