Aleh Tsyvinski

activity

20192026

most citedBeckmann's approach to multi-item multi-bidder auctions

4 citations · 6 across the 14 of their papers we have counts for

collaborators

Showing econ.EMShow all

3 papers · 1 filter

econ.EM2026

Triple/Double-Debiased Lasso

Denis Chetverikov, Jesper R. -V. Sørensen, Aleh Tsyvinski

In this paper, we propose a triple (or double-debiased) Lasso estimator for inference on a low-dimensional parameter in high-dimensional linear regression models. The estimator is…

econ.EM2025

Higher-Order Asset Pricing Factors via Forward Selection Fama-MacBeth Regression

Nicola Borri, Denis Chetverikov, Yukun Liu +1

We show that the higher-order terms and interactions of the common sparse linear factors are significantly priced in the cross-section of equity returns. A higher-order model with…

econ.EM2022

Weighted-average quantile regression

Denis Chetverikov, Yukun Liu, Aleh Tsyvinski

In this paper, we introduce the weighted-average quantile regression framework, $\int_{0}^{1} q_{Y ∣ X} (u) ψ (u) d u = X^{'} β$ , where $Y$ is a dependent variable, $X$ is a vector of covariates,…