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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Bibliografiske detaljer
Main Authors:	Fallaw Sowell, Nandana Sengupta
Format:	Article
Sprog:	English
Udgivet:	MDPI AG 2021-09-01
Serier:	Stats
Fag:	ridge regression holdout sample method of moments asymptotic distribution confidence region
Online adgang:	https://www.mdpi.com/2571-905X/4/3/43

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