3 papers
econ.EM2025
Single-Index Quantile Factor Model with Observed Characteristics
Ruofan Xu, Qingliang Fan
We propose a characteristics-augmented quantile factor (QCF) model, where unknown factor loading functions are linked to a large set of observed individual-level (e.g., bond- or st…
econ.EM2024
Robust Bond Risk Premia Predictability Test in the Quantiles
Xiaosai Liao, Xinjue Li, Qingliang Fan
Different from existing literature on testing the macro-spanning hypothesis of bond risk premia, which only considers mean regressions, this paper investigates whether the yield cu…
econ.EM2024
Inference for Nonlinear Endogenous Treatment Effects Accounting for High-Dimensional Covariate Complexity
Qingliang Fan, Zijian Guo, Ziwei Mei +1
Nonlinearity and endogeneity are prevalent challenges in causal analysis using observational data. This paper proposes an inference procedure for a nonlinear and endogenous margina…