2 papers
econ.EM2023
Estimation of Characteristics-based Quantile Factor Models
Liang Chen, Juan Jose Dolado, Jesus Gonzalo +1
This paper studies the estimation of characteristic-based quantile factor models where the factor loadings are unknown functions of observed individual characteristics while the id…
econ.EM2019
Quantile Factor Models
Liang Chen, Juan Jose Dolado, Jesus Gonzalo
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 ca…