Economics at your fingertips  

Quantile Factor Models

Liang Chen, Juan Dolado and Jesus Gonzalo ()

No 12716, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: In contrast to Approximate Factor Models (AFM), our proposed Quantile Factor Models (QFM) allow for unobserved common factors shifting some parts of the distribution other than the means of observed variables in large panel datasets. When such extra factors exist, the standard estimation tools for AFM fail to extract them and their quantile factor loadings (QFL). Two alternative approaches are developed to estimate consistently the whole factor structure of QFM: (i) a two-step estimation procedure which is only valid when the same factors shift the means and the quantiles; and (ii) an iterative procedure which is able to extract (potentially) quantile-dependent factors and their QFL at a given quantile even when both sets of factors differ. Simulation results confirm that our QFM estimation approaches perform reasonably well in finite samples, while four empirical applications provide evidence that extra factors shifting quantiles could be relevant in practice.

Date: 2018-02
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link) (application/pdf)
CEPR Discussion Papers are free to download for our researchers, subscribers and members. If you fall into one of these categories but have trouble downloading our papers, please contact us at

Related works:
Working Paper: Quantile Factor Models (2017) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Ordering information: This working paper can be ordered from ... rs/dp.php?dpno=12716

Access Statistics for this paper

More papers in CEPR Discussion Papers from C.E.P.R. Discussion Papers Centre for Economic Policy Research, 33 Great Sutton Street, London EC1V 0DX.
Bibliographic data for series maintained by ().

Page updated 2019-10-11
Handle: RePEc:cpr:ceprdp:12716