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...

पूर्ण विवरण

ग्रंथसूची विवरण
मुख्य लेखकों:	Fallaw Sowell, Nandana Sengupta
स्वरूप:	लेख
भाषा:	English
प्रकाशित:	MDPI AG 2021-09-01
श्रृंखला:	Stats
विषय:	ridge regression holdout sample method of moments asymptotic distribution confidence region
ऑनलाइन पहुंच:	https://www.mdpi.com/2571-905X/4/3/43

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