Sparse models, though long preferred and pursued by social scientists, can be ineffective or unstable relative to large models, for example, in economic predictions (Giannone et al., 2021). To achieve sparsity for economic interpretation while effectively exploiting big data for superior empirical p...
Keywords:
Asset Pricing, Bayesian Estimation, Decision Tree, Factors, Heterogeneity, Panel Data, Sorting, Sparsity, Spike-and-Slab, Structural Breaks
