Estimation in semiparametric quantile factor models

Shujie Ma, Oliver Linton

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.

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Year of publication:	10 January 2018
Authors:	Ma, Shujie ; Linton, Oliver ; Gao, Jiti
Publisher:	London : Cemmap, Centre for Microdata Methods and Practice, The Institute for Fiscal Studies, Department of Economics, UCL
Subject:	Cross-Sectional Dependence \| Fama-French Model \| Inference \| Sieve Estimation \| Schätztheorie \| Estimation theory \| Nichtparametrisches Verfahren \| Nonparametric statistics \| Faktorenanalyse \| Factor analysis \| Querschnittsanalyse \| Cross-section analysis \| Schätzung \| Estimation \| Induktive Statistik \| Statistical inference

Extent:	1 Online-Ressource (circa 49 Seiten) Illustrationen
Series:	CEMMAP working papers / Centre for Microdata Methods and Practice. - London : [Verlag nicht ermittelbar], ISSN 1753-9196, ZDB-ID 2106928-1. - Vol. CWP 18, 07
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper
Language:	English
Notes:	„Authors: Shuje Ma, Oliver Linton and Jiti Gao“ - Frontpage
Other identifiers:	hdl:10419/189695 [Handle]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011775200