Chen, Liang; Dolado, Juan J.; Gonzalo, Jesús - 2020
Quantile factor models (QFM) represent a new class of factor models for high-dimensional panel data. Unlike approximate … factor models (AFM), which only extract mean factors, QFM also allow unobserved factors to shift other relevant parts of the … distributions of observables. We propose a quantile regression approach, labeled Quantile Factor Analysis (QFA), to consistently …