Estimation and inference in semiparametric quantile factor models
From MaRDI portal
Publication:2658787
Recommendations
- Semiparametric approach to a random effects quantile regression model
- Quantile factor models
- Quasi-likelihood Estimation in Semiparametric Models
- Estimation of general semi-parametric quantile regression
- Bayesian semiparametric modelling in quantile regression
- Semiparametric quantile regression estimation in dynamic models with partially varying coefficients
- Semiparametric modeling of multiple quantiles
- EFFICIENT SEMIPARAMETRIC ESTIMATION OF A PARTIALLY LINEAR QUANTILE REGRESSION MODEL
- A direct approach to inference in nonparametric and semiparametric quantile models
Cites work
- A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS
- A practical guide to splines.
- Adaptive thresholding for sparse covariance matrix estimation
- Additive coefficient modeling via polynomial spline
- Bernstein inequality and moderate deviations under strong mixing conditions
- Biconvex sets and optimization with biconvex functions: a survey and extensions
- Bivariate tensor-product B-splines in a partly linear model
- Bootstrap and wild bootstrap for high dimensional linear models
- Common risk factors in the returns on stocks and bonds
- Determining the Number of Factors in Approximate Factor Models
- Efficient semiparametric estimation of the Fama-French model and extensions
- Embracing the blessing of dimensionality in factor models
- Estimation in semiparametric spatial regression
- Factor modeling for high-dimensional time series: inference for the number of factors
- GMM estimation with cross sectional dependence
- Goodness of Fit and Related Inference Processes for Quantile Regression
- Heteroskedasticity-Autocorrelation Robust Standard Errors Using The Bartlett Kernel Without Truncation
- scientific article; zbMATH DE number 3168214 (Why is no real title available?)
- scientific article; zbMATH DE number 88840 (Why is no real title available?)
- Large covariance estimation by thresholding principal orthogonal complements. With discussion and authors' reply
- Nonparametric Estimation of an Additive Quantile Regression Model
- Oracle-efficient nonparametric estimation of an additive model with an unknown link function
- Projected principal component analysis in factor models
- Semiparametric single-index panel data models with cross-sectional dependence
- Series estimation under cross-sectional dependence
- Simultaneous variable selection and estimation in semiparametric modeling of longitudinal/clustered data
- Spline-backfitted kernel smoothing of partially linear additive model
- Statistical analysis of factor models of high dimension
- Statistical inference on regression with spatial dependence
- Strong representations for LAD estimators in linear models
Cited in
(20)- Quantile Co-Movement in Financial Markets: A Panel Quantile Model With Unobserved Heterogeneity
- Parallel integrative learning for large-scale multi-response regression with incomplete outcomes
- Editorial for the special issue on financial econometrics in the age of the digital economy
- Robust projected principal component analysis for large-dimensional semiparametric factor modeling
- Efficient semiparametric estimation of the Fama-French model and extensions
- Quantile regression models with factor‐augmented predictors and information criterion
- Quantile factor models
- High-dimensional latent panel quantile regression with an application to asset pricing
- Two-step estimation of quantile panel data models with interactive fixed effects
- Reproducible learning for accelerated failure time models via deep knockoffs
- Asset Pricing via the Conditional Quantile Variational Autoencoder
- GMM estimation for high-dimensional panel data models
- A projection-based approach for interactive fixed effects panel data models
- Monitoring multi-country macroeconomic risk: a quantile factor-augmented vector autoregressive (QFAVAR) approach
- Estimation and Inference for a Semiparametric Time–Varying Panel Data Model
- Statistical Quantile Learning for Large Additive Latent Variable Models
- An Adaptive Residual-Based Test for Factor Structure
- MCA: high-dimensional modal component analysis towards the mode
- A practitioner’s guide to panel data quantile regression
- Latent factor models with functional single-index loadings
This page was built for publication: Estimation and inference in semiparametric quantile factor models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2658787)
