2 papers
econ.EM2026
A Simple Approximation to the Distribution of the Ridge Regression Estimator
José Luis Montiel Olea, Ryan Strong, Amilcar Velez +2
We present a simple Gaussian approximation to the finite-sample distribution of the classical ridge regression estimator. Our approximation captures the fact that, in finite sample…
econ.EM2026
Decision Theory for the Archetype Discovery Problem
José Luis Montiel Olea, Amilcar Velez, Zhuoheng Xu +2
In the archetype discovery problem a researcher wants to summarize N heterogeneous policy effects of interest that vary over a discrete set of covariates. The goal is to partition…