Estimation and inference in semiparametric quantile factor models

journal contribution

posted on 2022-11-09, 02:42 authored by Shujie Ma, Oliver Linton, Jiti Gao

We propose an estimation methodology for a semiparametric quantile factor panel model. We provide tools for inference

History

Classification-JEL

C14, C21, C23, G12

Creation date

2017-07-02

Working Paper Series Number

8/17

Length

47

File-Format

application/pdf

Handle

RePEc:msh:ebswps:2017-8

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Categories

Keywords

cross-sectional dependence Fama-French model inference sieve estimation.

Licence

Exports