{"id":"W4389245259","doi":"10.1002/ijfe.2919","title":"Is illiquidity priced in an international factor pricing model? A dynamic panel data application with robust <scp>IV</scp>","year":2023,"lang":"en","type":"article","venue":"International Journal of Finance & Economics","topic":"Financial Markets and Investment Strategies","field":"Economics, Econometrics and Finance","cited_by":5,"is_retracted":false,"has_abstract":true,"ca_institutions":"Université du Québec à Montréal; University of Ottawa","funders":"Social Sciences and Humanities Research Council of Canada","keywords":"Endogeneity; Economics; Panel data; Estimator; Econometrics; Recession; Generalized method of moments; Financial economics; Monetary economics; Macroeconomics; Mathematics; Statistics","routes":{"ca_aff":true,"ca_fund":true,"ca_venue":false,"about_ca":false,"invisible_to_affiliation_only":false},"retraction":null,"screen":null,"direct_labels":[],"prediction":{"model_version":"codex-gemma-dda1882f352a","candidate_categories":[],"consensus_categories":[],"category_scores_codex":[0.0006496762,0.000218965,0.0004278869,0.0006492727,0.00005969553,0.0002328261,0.001714537,0.0001190912,0.00002349264],"category_scores_gemma":[0.0001539078,0.0002402094,0.00008960367,0.0002327704,0.00007480231,0.002646018,0.0002147473,0.0002879892,0.00006858355],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.0004601079,"about_ca_system_score_gemma":0.000177544,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.00008590255,"about_ca_topic_score_gemma":0.0001441634,"domain_scores_codex":[0.9979007,0.0000128896,0.001149147,0.0005295578,0.0001118367,0.0002958932],"domain_scores_gemma":[0.9977745,0.00007354321,0.001403225,0.0004736563,0.0002042872,0.00007076741],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"simulation_or_modeling","study_design_gemma":"simulation_or_modeling","study_design_scores_codex":[0.0003655179,0.0007556161,0.2192347,0.00004898697,0.0004711516,0.00008838081,0.003326926,0.5572445,0.000230186,0.1970506,0.002609178,0.01857431],"study_design_scores_gemma":[0.0009938092,0.0001248985,0.2077063,0.00005659193,0.000005722891,0.00002429716,0.0001365838,0.7539144,0.00003967213,0.01975881,0.01707155,0.0001673267],"study_design_candidate":"simulation_or_modeling","study_design_consensus":"simulation_or_modeling","genre_codex":"empirical","genre_gemma":"empirical","genre_scores_codex":[0.9807943,0.0001467817,0.0138217,0.001187185,0.0009231673,0.0001846112,0.0009543399,0.00002523678,0.001962722],"genre_scores_gemma":[0.9914959,0.003457369,0.003809561,0.0003935124,0.0002557276,0.00001682756,0.0002238065,0.00003767325,0.0003096068],"genre_candidate":"empirical","genre_consensus":"empirical","teacher_disagreement_score":0.1966699,"threshold_uncertainty_score":0.9795454,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.09551781083376919,"score_gpt":0.2779011970918572,"score_spread":0.182383386258088,"validation_status":"score_only:v0-immature-baseline","note":"Baseline scores from an immature model (maturity gate not passed). Scores rank; they never assert a category."}}