Estimation in Semiparametric Quantile Factor Models

Shujie Ma, Oliver B. Linton, Jiti Gao
2017 Social Science Research Network  
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.
doi:10.2139/ssrn.2963579 fatcat:nk7ucz6mwzhjhaivfb4mpcesg4