5 papers
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…
Tuning parameter selection in econometrics
Denis Chetverikov
I review some of the main methods for selecting tuning parameters in nonparametric and -penalized estimation. For the nonparametric estimation, I consider the methods of Ma…
One Factor to Bind the Cross-Section of Returns
Nicola Borri, Denis Chetverikov, Yukun Liu +1
We propose a new non-linear single-factor asset pricing model . Despite its parsimony, this model represents exactly any non-linear model with an arbit…
Logit-based alternatives to two-stage least squares
Denis Chetverikov, Jinyong Hahn, Zhipeng Liao +1
We propose logit-based IV and augmented logit-based IV estimators that serve as alternatives to the traditionally used 2SLS estimator in the model where both the endogenous treatme…
Conditional Quantile Processes based on Series or Many Regressors
Alexandre Belloni, Victor Chernozhukov, Denis Chetverikov +1
Quantile regression (QR) is a principal regression method for analyzing the impact of covariates on outcomes. The impact is described by the conditional quantile function and its f…