{
  "abstract": "This paper studies a partially linear semiparametric additive model that allows for interactions among variables in high-dimensional settings. We propose the Specification LASSO (S-LASSO), a two-step method that integrates LASSO and Adaptive Group LASSO to simultaneously perform variable selection and model specification. Theoretically, we establish that S-LASSO possesses oracle properties in terms of selection consistency and asymptotic normality. Monte Carlo simulations confirm that S-LASSO outperforms existing alternatives across a variety of scenarios. Empirically, we apply S-LASSO to a characteristics-based asset pricing model, exploring the linear and nonlinear effects of asset-specific characteristics on cross-sectional returns, as well as their interactions with firm size.",
  "abstract_shown": true,
  "affiliations": [],
  "article_type": null,
  "arxiv": "2611.03391",
  "author_total": 4,
  "authors": [
    {
      "name": "Chaohua Dong"
    },
    {
      "name": "Shuyi Ge"
    },
    {
      "name": "Shaoran Li"
    },
    {
      "name": "Wen Su"
    }
  ],
  "bibtex": "https://research.draconitic.com/paper/e4kw3r5sja946.bib",
  "cited_by": 0,
  "doi": "10.48550/arxiv.2611.03391",
  "fulltext_url": null,
  "id": "e4kw3r5sja946",
  "issns": [],
  "landing_url": "https://arxiv.org/abs/2611.03391",
  "language": null,
  "licence": "CC0-1.0",
  "licence_label": "CC0",
  "licence_source": "article",
  "licence_url": "http://creativecommons.org/publicdomain/zero/1.0/",
  "metadata_licence": "CC0-1.0",
  "native_subjects": [
    [
      "arxiv",
      "econ.EM"
    ],
    [
      "arxiv",
      "math.ST"
    ],
    [
      "arxiv",
      "q-fin.PM"
    ],
    [
      "arxiv",
      "stat.ME"
    ],
    [
      "arxiv",
      "stat.TH"
    ]
  ],
  "openalex": null,
  "pdf_url": "https://arxiv.org/pdf/2611.03391",
  "pmcid": null,
  "pmid": null,
  "published": "2026-11-02",
  "publisher": null,
  "ris": "https://research.draconitic.com/paper/e4kw3r5sja946.ris",
  "sources": [
    {
      "first_seen": "2026-11-03T12:21:14Z",
      "native_id": "2611.03391",
      "source": "arxiv",
      "url": "https://arxiv.org/abs/2611.03391"
    }
  ],
  "subjects": [
    {
      "field": "mathematics",
      "origin": "arxiv:math.ST",
      "subfield": "statistics"
    }
  ],
  "title": "Specification LASSO and a Flexible Characteristics-Based Asset Pricing Model",
  "title_text": "Specification LASSO and a Flexible Characteristics-Based Asset Pricing Model",
  "type": "preprint",
  "updated_at": "2026-11-05T15:20:35Z",
  "url": "https://research.draconitic.com/paper/e4kw3r5sja946",
  "venue": "arXiv",
  "versions": [
    {
      "doi": "10.1080/07350015.2026.2729095",
      "pid": null,
      "relation": "published-as",
      "title": null,
      "venue": null
    }
  ]
}