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...

書誌詳細
主要な著者:	Fallaw Sowell, Nandana Sengupta
フォーマット:	論文
言語:	English
出版事項:	MDPI AG 2021-09-01
シリーズ:	Stats
主題:	ridge regression holdout sample method of moments asymptotic distribution confidence region
オンライン･アクセス:	https://www.mdpi.com/2571-905X/4/3/43

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