This paper offers some new directions in the analysis of nonparamertric models with exogenous treatment assignment. The nonparametric approach opens the door to the examination of potentially different distributed outcomes. When combined with cross-validation, it also identifies potentially...

Identifying factors that can explain cross-sectional asset returns is fundamental in asset pricing. We adopt a new automatic debiased machine learning method proposed by Chernozhukov, Newey, and Singh (2022) to robustly identify these factors and conduct statistical inference in a very high...