2 papers
econ.EM2026
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.EM2026
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…