Estimation in semiparametric quantile factor models

Shujie Ma, Oliver Linton and Jiti Gao
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Shujie Ma: Institute for Fiscal Studies

No CWP07/18, CeMMAP working papers from Centre for Microdata Methods and Practice, Institute for Fiscal Studies

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 CRSP daily data.

Keywords: Dependence; Fama-French Model; Inference; Sieve Estimation (search for similar items in EconPapers)
Date: 2018-01-10
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (2)

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