Working Paper

Estimation in semiparametric quantile factor models


Shujie Ma, Oliver Linton, Jiti Gao

Published Date

10 January 2018


Working Paper (CWP07/18)

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.