Estimation in Semiparametric Quantile Factor Models
Methodology
2017-09-01 v1
Abstract
We propose an estimation methodology for a semiparametric quantile factor panel model. We provide tools for inference that are robust to the existence of moments and to the form of weak cross-sectional dependence in the idiosyncratic error term. We apply our method to daily stock return data.
Cite
@article{arxiv.1708.09507,
title = {Estimation in Semiparametric Quantile Factor Models},
author = {Shujie Ma and Oliver Linton and Jiti Gao},
journal= {arXiv preprint arXiv:1708.09507},
year = {2017}
}