On the Asymptotic Distribution of Ridge Regression Estimators Using Training and Test Samples

On the Asymptotic Distribution of Ridge Regression Estimators Using Training and Test Samples

The asymptotic distribution of the linear instrumental variables (IV) estimator with empirically selected ridge regression penalty is characterized. The regularization tuning parameter is selected by splitting the observed data into training and test samples and becomes an estimated parameter that j...

Full description

Bibliographic Details
Main Authors: Nandana Sengupta, Fallaw Sowell
Format: Article
Language:English
Published: MDPI AG 2020-10-01
Series:Econometrics
Subjects:
ridge regression
instrumental variables
regularization
training and test samples
generalized method of moments framework
Online Access:https://www.mdpi.com/2225-1146/8/4/39

Internet

https://www.mdpi.com/2225-1146/8/4/39

Similar Items