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

Blog Article

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 Horse Rugs method of moments.A chi-squared statistic permits confidence regions for the structural parameters.

The form of the asymptotic distribution provides insights on the optimal way to perform Rocker Panel the split between the training and test sample.Results for the linear regression estimated by ridge regression are presented as a special case.