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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Xehetasun bibliografikoak
Egile Nagusiak:	Fallaw Sowell, Nandana Sengupta
Formatua:	Artikulua
Hizkuntza:	English
Argitaratua:	MDPI AG 2021-09-01
Saila:	Stats
Gaiak:	ridge regression holdout sample method of moments asymptotic distribution confidence region
Sarrera elektronikoa:	https://www.mdpi.com/2571-905X/4/3/43

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