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...
| 主要な著者: | , |
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| フォーマット: | 論文 |
| 言語: | English |
| 出版事項: |
MDPI AG
2021-09-01
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| シリーズ: | Stats |
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| オンライン･アクセス: | https://www.mdpi.com/2571-905X/4/3/43 |
| 要約: | 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 statistic permits confidence regions for the structural parameters. The form of the asymptotic distribution provides insights on the optimal way to perform the split between the training and test sample. Results for the linear regression estimated by ridge regression are presented as a special case. |
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| ISSN: | 2571-905X |