arXiv 4 Aug 2023 · Econometrics
arXiv:2308.02450 · PDF · DOI · OpenAlex · Extracted main text
This paper introduces the method of composite quantile factor model for factor analysis in high-dimensional panel data. We propose to estimate the factors and factor loadings across multiple quantiles of the data, allowing the estimates to better adapt to features of the data at different quantiles while still modeling the mean of the data. We develop the limiting distribution of the estimated factors and factor loadings, and an information criterion for consistent factor number selection is also discussed. Simulations show that the proposed estimator and the information criterion have good finite sample properties for several non-normal distributions under consideration. We also consider an empirical study on the factor analysis for 246 quarterly macroeconomic variables. A companion R package cqrfactor is developed.
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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 | –- and Yuan, M (2008) Composite quantile regression and the oracle model selection theory | 1.000 | 10 | 3 | 100% |
| 2 | Chen, L., Dolado, J. J. and Gonzalo, J (2021) Quantile factor models | 0.961 | 18 | 6 | 89% |
| 3 | Ando, T. and Bai, J (2020) Quantile co-movement in financial markets: A panel quantile model with unobserved heterogeneity | 0.950 | 14 | 4 | 86% |
| 4 | –- and Ng, S (2002) Determining the number of factors in approximate factor models | 0.894 | 7 | 5 | 71% |
| 5 | Bai, J (2003) Inferential theory for factor models of large dimensions | 0.874 | 11 | 2 | 100% |
| 6 | McCracken, M. and Ng, S (2020) FRED-QD: A Quarterly Database for Macroeconomic Research | 0.874 | 6 | 2 | 100% |
| 7 | –- and –- (2002) a) | 0.737 | 3 | 2 | 100% |
| 8 | –- (2009) Panel data models with interactive fixed effects | 0.644 | 3 | 2 | 67% |
| 9 | He, Y., Kong, X., Yu, L. and Zhang, X (2022) Large-dimensional factor analysis without moment constraints | 0.644 | 2 | 2 | 100% |
| 10 | –- and –- (2002) b) | 0.644 | 2 | 2 | 100% |
Showing the top 10 of 27 scored citations.