Liang Chen, Juan Jose Dolado, Jesus Gonzalo, Haozi Pan
arXiv 26 Apr 2023 · Econometrics · publishedJournal of Econometrics (2026) · 2 citations (OpenAlex)
arXiv:2304.13206 · PDF · DOI · OpenAlex · Extracted main text
This paper studies the estimation of characteristic-based quantile factor models where the factor loadings are unknown functions of observed individual characteristics while the idiosyncratic error terms are subject to conditional quantile restrictions. We propose a three-stage estimation procedure that is easily implementable in practice and has nice properties. The convergence rates, the limiting distributions of the estimated factors and loading functions, and a consistent selection criterion for the number of factors at each quantile are derived under general conditions. The proposed estimation methodology is shown to work satisfactorily when: (i) the idiosyncratic errors have heavy tails, (ii) the time dimension of the panel dataset is not large, and (iii) the number of factors exceeds the number of characteristics. Finite sample simulations and an empirical application aimed at estimating the loading functions of the daily returns of a large panel of S&P500 index securities help illustrate these properties.
appendix boundary found by none_found · 100% of the source is main text. Read the extracted text to check this.
The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Fan, J., Y. Liao, and W. Wang (2016) Projected principal component analysis in factor models | 1.000 | 23 | 5 | 100% |
| 2 | Ma, S., O. Linton, and J. Gao (2021) Estimation and inference in semiparametric quantile factor models | 1.000 | 14 | 4 | 100% |
| 3 | Chen, L., J. J. Dolado, and J. Gonzalo (2021) Quantile factor models self | 1.000 | 10 | 5 | 100% |
| 4 | Connor, G., M. Hagmann, and O. Linton (2012) Efficient semiparametric estimation of the Fama–French model and extensions | 1.000 | 8 | 3 | 100% |
| 5 | Connor, G. and O. Linton (2007) Semiparametric estimation of a characteristic-based factor model of common stock returns | 0.811 | 4 | 2 | 100% |
| 6 | Bai, J. and S. Ng (2002) Determining the number of factors in approximate factor models | 0.644 | 2 | 2 | 100% |
| 7 | Bai, J (2003) Inferential theory for factor models of large dimensions | 0.644 | 2 | 2 | 100% |
| 8 | Stock, J. H. and M. W. Watson (2002) Forecasting using principal components from a large number of predictors | 0.644 | 2 | 2 | 100% |
| 9 | Chen, X. and X. Shen (1998) Sieve extremum estimates for weakly dependent data | 0.511 | 2 | 1 | 100% |
| 10 | Horowitz, J. L. and S. Lee (2005) Nonparametric estimation of an additive quantile regression model | 0.511 | 2 | 1 | 100% |
Showing the top 10 of 23 scored citations.