4 papers
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…
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…
Robust Inference for Multiple Predictive Regressions with an Application on Bond Risk Premia
Xiaosai Liao, Xinjue Li, Qingliang Fan
We propose a robust hypothesis testing procedure for the predictability of multiple predictors that could be highly persistent. Our method improves the popular extended instrumenta…
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…