The multifactor asset pricing model derived from the Fama-French approach is extensively used in asset risk premium estimation procedures. Even including a considerable number of factors, it is still possible that omitted factors affect the estimation of this model. In this work, we compare...

Uncertainty about the choice of identifying assumptions is common in causal studies, but is often ignored in empirical practice. This paper considers uncertainty over models that impose different identifying assumptions, which can lead to a mix of point‐ and set‐identified models. We propose...

The problem of selecting a prior distribution when it comes to Bayes estimation often constitutes a choice between conjugate or noninformative priors, since in both cases the resulting posterior Bayes estimator (PBE) can be solved analytically and is therefore easy to calculate. Nevertheless,...