Quantile factor models
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Abstract: Quantile Factor Models (QFM) represent a new class of factor models for high-dimensional panel data. Unlike Approximate Factor Models (AFM), where only location-shifting factors can be extracted, QFM also allow to recover unobserved factors shifting other relevant parts of the distributions of observed variables. A quantile regression approach, labeled Quantile Factor Analysis (QFA), is proposed to consistently estimate all the quantile-dependent factors and loadings. Their asymptotic distribution is then derived using a kernel-smoothed version of the QFA estimators. Two consistent model selection criteria, based on information criteria and rank minimization, are developed to determine the number of factors at each quantile. Moreover, in contrast to the conditions required for the use of Principal Components Analysis in AFM, QFA estimation remains valid even when the idiosyncratic errors have heavy-tailed distributions. Three empirical applications (regarding macroeconomic, climate and finance panel data) provide evidence that extra factors shifting the quantiles other than the means could be relevant in practice.
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- When structural break meets threshold effect: factor analysis under structural instabilities
- Revisiting vulnerable growth in the Euro Area: identifying the role of financial conditions in the distribution
- Quantile random-coefficient regression with interactive fixed effects: Heterogeneous group-level policy evaluation
- High dimensional T-type estimator for robust covariance matrix estimation with applications to elliptical factor models
- Spanning latent and observable factors
- Dynamic economics with quantile preferences
- High-dimensional latent panel quantile regression with an application to asset pricing
- Estimation and inference in semiparametric quantile factor models
- Panel Quantile GARCH Models under Homogeneity
- Statistical Quantile Learning for Large Additive Latent Variable Models
- Factorisable multitask quantile regression
- Robust estimation of the number of factors for the pair-elliptical factor models
- Robust PCA for high‐dimensional data based on characteristic transformation
- Asset Pricing via the Conditional Quantile Variational Autoencoder
- A panel quantile model via correlated random effects approach for testing pecking order theory
- Robust factor analysis with exponential squared loss
- Forecasting high-dimensional non-normal time series using averaged quantile regression
- On generalized cce estimation
- Estimation and inference for large-dimensional generalized matrix factor models
- Quantile approach to intertemporal consumption with multiple assets
- Tail-robust factor modelling of vector and tensor time series in high dimensions
- Inference in Heavy-Tailed Nonstationary Multivariate Time Series
- Estimation of tensor factor model by iterative least squares
- A spatial panel quantile model with unobserved heterogeneity
- Aggregated Projection Method: A New Approach for Group Factor Model
- Matrix Factor Analysis: From Least Squares to Iterative Projection
- A new non-parametric Kendall's tau for matrix-valued elliptical observations
- Distributed loading estimation for general factor model
- Bayesian and maximum likelihood analysis of large-scale panel choice models with unobserved heterogeneity
- Quantile Co-Movement in Financial Markets: A Panel Quantile Model With Unobserved Heterogeneity
- Bayesian hierarchical quantile factor model and its application
- A simple quantile regression model linking micro outcomes to macro covariates
- High-dimensional overdispersed generalized factor model with application to single-cell sequencing data analysis
- Nuclear norm regularized quantile regression with interactive fixed effects
- Robust factorization for high-dimensional matrix-variate observations
- Two-step estimation of quantile panel data models with interactive fixed effects
- Dynamic factor analysis of high-dimensional recurrent events
- Probabilistic Quantile Factor Analysis
- Quantile analysis for financial bubble detection and surveillance
- Mode-adaptive factor models
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