Forward Selection Fama-MacBeth Regression with Higher Order Asset-Pricing Factors
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https://www.nber.org/papers/w33663
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We show that the higher-orders and their interactions of the common sparse linear factors can effectively subsume the factor zoo. We propose a forward selection Fama-MacBeth procedure as a method to estimate a high-dimensional stochastic discount factor model, isolating the most relevant higher
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美国国家经济研究局创建时间：
2025-04-01
