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...

Полное описание

Библиографические подробности
Главные авторы:	Fallaw Sowell, Nandana Sengupta
Формат:	Статья
Язык:	English
Опубликовано:	MDPI AG 2021-09-01
Серии:	Stats
Предметы:	ridge regression holdout sample method of moments asymptotic distribution confidence region
Online-ссылка:	https://www.mdpi.com/2571-905X/4/3/43

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