Quantile Factor Models

DOI10.3982/ECTA15746zbMath1478.62090arXiv1911.02173OpenAlexW3138290602MaRDI QIDQ5860032

Juan J. Dolado, Liang Chen, Jesús Gonzalo

Publication date: 18 November 2021

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1911.02173

zbMATH Keywords

quantile regressionfactor modelsincidental parameters

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric regression and quantile regression (62G08) Factor analysis and principal components; correspondence analysis (62H25)

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