Pricing Model Performance and the Two-Pass Cross-Sectional Regression Methodology

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Unexplained factors and their effects on second pass R-squared’s (2015, methodology): “Since we cannot estimate d and l consistently, it is then not possible to conduct reliable inference on R2OLS and R 2 GLS , for example, using t-tests as in Kan et al. (2013).”
Time-Varying Risk Premium in Large Cross-Sectional Equity Data Sets (2016, unknown): “Finally, we can relate the results of Proposition 4 to bias-corrected estimation accounting for the wellknown incidental parameter problem (Neyman and Scott (1948)) in the panel literature (see Lancaster (2000) for a review).”
Robust Inference for Consumption‐Based Asset Pricing (2019, unknown): “Specifically, the confidence set in (24) can have three distinct shapes:”
Model Comparison with Sharpe Ratios (2019, methodology): “We refer the readers to Kan et al. (2013) for its derivation and a discussion of numerical methods for calculating the p-value.”