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...
| প্রধান লেখক: | , |
|---|---|
| বিন্যাস: | প্রবন্ধ |
| ভাষা: | English |
| প্রকাশিত: |
MDPI AG
2021-09-01
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| মালা: | Stats |
| বিষয়গুলি: | |
| অনলাইন ব্যবহার করুন: | https://www.mdpi.com/2571-905X/4/3/43 |