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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.EM2024
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…
econ.EM2023
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…