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Estimation in semiparametric quantile factor models

Authors: Shujie Ma , Oliver Linton and Jiti Gao
Date: 10 January 2018
Type: cemmap Working Paper, CWP07/18

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.

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