The estimation of treatment effects on the response variable is often a primary goal in
empirical investigations in disciplines such as medicine, economics and marketing …

This study proposes a novel complete subset averaging (CSA) method for high-dimensional
generalized linear models based on a penalized Kullback–Leibler (KL) loss. All models …

We propose a novel conditional quantile prediction method based on complete subset
averaging (CSA) for quantile regressions. All models under consideration are potentially …

We developed a command, csa2sls, that implements the complete subset averaging two-
stage least-squares (CSA2SLS) estimator in Lee and Shin (2021, Econometrics Journal 24 …

The empirical evidence supporting capital asset pricing model (CAPM) in the version of
Sharpe (1964) and Lintner (1965) is far from being convincing. Nevertheless, the CAPM is …

The empirical evidence supporting capital asset pricing model (CAPM) in the version of
Sharpe (1964) and Lintner (1965) is far from being convincing. Nevertheless, the CAPM is …

This thesis investigates estimation and inferential methods for dynamic panel data models
with multifactor error structure. Chapter 2 reviews the existing estimation methods for short T …