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...

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Bibliografiska uppgifter
Huvudupphovsmän:	Fallaw Sowell, Nandana Sengupta
Materialtyp:	Artikel
Språk:	English
Publicerad:	MDPI AG 2021-09-01
Serie:	Stats
Ämnen:	ridge regression holdout sample method of moments asymptotic distribution confidence region
Länkar:	https://www.mdpi.com/2571-905X/4/3/43

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