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Estimation in semiparametric quantile factor models

Author

Listed:
  • Shujie Ma

    (Institute for Fiscal Studies)

  • Oliver Linton

    (Institute for Fiscal Studies and University of Cambridge)

  • Jiti Gao

    (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.

Suggested Citation

  • Shujie Ma & Oliver Linton & Jiti Gao, 2018. "Estimation in semiparametric quantile factor models," CeMMAP working papers CWP07/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    • Handle: RePEc:ifs:cemmap:07/18
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    File URL: https://www.ifs.org.uk/uploads/CWP071818.pdf
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    References listed on IDEAS

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    Keywords

    Dependence; Fama-French Model; Inference; Sieve Estimation;
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