Estimation in semiparametric quantile factor models

  • Jiti Gao
  • Oliver Linton
  • Shujie Ma

Published on 10 January 2018

We propose an estimation methodology for a semiparametric quantile factor panel model.

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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 CRSP daily data.

Authors

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Oliver Linton

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Jiti Gao

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Shujie Ma

Working Paper details

DOI
10.1920/wp.cem.2018.0718
Publisher
The IFS

Suggested citation

J, Gao and O, Linton and S, Ma. (2018). Estimation in semiparametric quantile factor models. London: The IFS. Available at: https://ifs.org.uk/publications/estimation-semiparametric-quantile-factor-models (accessed: 25 April 2024).

Grant

Advancing microdata models and methods

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