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...

Bibliográfalaš dieđut
Váldodahkkit:	Fallaw Sowell, Nandana Sengupta
Materiálatiipa:	Artihkal
Giella:	English
Almmustuhtton:	MDPI AG 2021-09-01
Ráidu:	Stats
Fáttát:	ridge regression holdout sample method of moments asymptotic distribution confidence region
Liŋkkat:	https://www.mdpi.com/2571-905X/4/3/43

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