2017/08/31 by Ma, Shujie, Linton, Oliver, Gao, Jiti
#FOS: Computer and information sciences #Methodology (stat.ME)
paper · doi:10.48550/arxiv.1708.09507
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 daily stock return data.