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...
| Auteurs principaux: | , |
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| Format: | Article |
| Langue: | English |
| Publié: |
MDPI AG
2021-09-01
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| Collection: | Stats |
| Sujets: | |
| Accès en ligne: | https://www.mdpi.com/2571-905X/4/3/43 |