1,290
Views
0
CrossRef citations to date
0
Altmetric
Applied Econometrics

Functional coefficient quantile regression model with time-varying loadings

, &
Article: 2167151 | Received 22 Feb 2022, Accepted 01 Jan 2023, Published online: 30 Jan 2023

References

  • Ando, T., & Bai, J. (2015). Asset pricing with a general multifactor structure. Journal of Financial Econometrics, 13(3), 556–39. https://doi.org/10.1093/jjfinec/nbu026
  • Ando, T., & Bai, J. (2020). Quantile co-movement in financial markets: A panel quantile model with unobserved heterogeneity. Journal of the American Statistical Association, 115(529), 266–279. https://doi.org/10.1080/01621459.2018.1543598
  • Bai, J. (2003). Inferential theory for factor models of large dimensions. Econometrica, 71(1), 135–171. https://doi.org/10.1111/1468-0262.00392
  • Bai, J. (2009). Panel data models with interactive fixed effects. Econometrica, 77, 1229–1279.
  • Bai, J., & Ng, S. (2002). Determining the number of factors in approximate factor models.Econometrica. Econometrica, 70(1), 191–221. https://doi.org/10.1111/1468-0262.00273
  • Bates, B. J., Plagborg-Mø Ller, M., Stock, J. H., & Watson, M. W. (2013). Consistent factor estimation in dynamic factor models with structural instability. Journal of Econometrics, 177(2), 289–304. https://doi.org/10.1016/j.jeconom.2013.04.014
  • Cai, Z. (2007). Trending time-varying coefficient time series models with serially correlated errors. Journal of Econometrics, 136(1), 163–188. https://doi.org/10.1016/j.jeconom.2005.08.004
  • Cai, Z., & Xiao, Z. (2012). Semiparametric quantile regression estimation in dynamic models with partially varying coefficients. Journal of Econometrics, 167(2), 413–425. https://doi.org/10.1016/j.jeconom.2011.09.025
  • Cai, Z., & Xu, X. (2008). Nonparametric quantile estimation for dynamic smooth coefficient models. Journal of the American Statistical Association, 103(484), 1595–1608. https://doi.org/10.1198/016214508000000977
  • Casas, I., Gao, J., Peng, B., & Xie, S. (2021). Time-varying income elasticities of healthcare expenditure for the OECD and Eurozone. Journal of Applied Econometrics, 36(3), 328–345. https://doi.org/10.1002/jae.2809
  • Chaudhuri, P., Doksum, K., & Samarov, A. (1997). On average derivative quantile regression. Annals of Statistics, 25(2), 715–744. https://doi.org/10.1214/aos/1031833670
  • Chen, L., Dolado, J., & Gonzalo, J. (2021). Quantile factor models. Econometrica, 89(2), 875–910. https://doi.org/10.3982/ECTA15746
  • De Gooijer, J. G., & Zerom, D. (2003). On conditional density estimation. Statistica Neerlandica, 57(2), 159–176. https://doi.org/10.1111/1467-9574.00226
  • Eichler, M., Motta, G., & von Sachs, R. (2011). Fitting dynamic factor models to non-stationary time series. Journal of Econometrics, 163(1), 51–70. https://doi.org/10.1016/j.jeconom.2010.11.007
  • Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33(1), 3–56. https://doi.org/10.1016/0304-405X(93)90023-5
  • Fan, J., & Gijbels, I. (1996). Local polynomial modelling and its applications. Chapman & Hall.
  • Galvao, A., Juhl, T., Montes-Rojas, G., & Olmo, J. (2018). Testing slope homogeneity in quantile regression panel data with an application to the cross-section of stock returns. Journal of Financial Econometrics, 16(2), 211–243. https://doi.org/10.1093/jjfinec/nbx016
  • Galvao, A., & Montes-Rojas, G. (2015). On bootstrap inference for quantile regression panel data: A Monte Carlo study. Econometrics, 3(3), 654–666. https://doi.org/10.3390/econometrics3030654
  • Galvao, A., Montes-Rojas, G., & Olmo, J. (2019). Tests of asset pricing with time-varying factor loads. Journal of Applied Econometrics, 34(5), 762–778. https://doi.org/10.1002/jae.2687
  • Galvao, A., Parker, T., & Xiao, Z. 2021. Bootstrap inference for panel data quantile regression, https://arxiv.org/abs/2111.03626.
  • Giovannetti, B. C. (2013). Asset pricing under quantile utility maximization. Review of Financial Economics, 22(4), 169–179. https://doi.org/10.1016/j.rfe.2013.05.008
  • Harding, M., & Lamarche, C. (2014). Estimating and testing a quantile regression model with interactive effects. Journal of Econometrics, 178, 101–113. https://doi.org/10.1016/j.jeconom.2013.08.010
  • He, X., & Zhu, L. (2003). A lack-of-fit test for quantile regression. Journal of the American Statistical Association, 98(464), 1013–1022. https://doi.org/10.1198/016214503000000963
  • Horowitz, J. L., & Lee, S. (2005). Nonparametric estimation of an additive quantile regression model. Journal of the American Statistical Association, 100(472), 1238–1249. https://doi.org/10.1198/016214505000000583
  • Kapetanios, G. A. (2008). Bootstrap procedure for panel datasets with many cross-sectional units. The Econometrics Journal, 11(2), 377–395. https://doi.org/10.1111/j.1368-423X.2008.00243.x
  • Kim, M. O. (2007). Quantile regression with varying coefficients. Annals of Statistics, 35(1), 92–108. https://doi.org/10.1214/009053606000000966
  • Koenker, R., & Bassett, G. S. (1978). Regression quantiles. Econometrica, 46(1), 33–50. https://doi.org/10.2307/1913643
  • Koenker, R., & Machado, J. A. F. (1999). Goodness of fit and related inference processes for quantile regression. Journal of the American Statistical Association, 94(448), 1296–1310. https://doi.org/10.1080/01621459.1999.10473882
  • Koenker, R., & Xiao, Z. (2006). Quantile autoregression. Journal of the American Statistical Association, 101(475), 980–990. https://doi.org/10.1198/016214506000000672
  • Kogan, L., & Papanikolaou, D. (2013). Firm characteristics and stock returns: The role of investment-specific shocks. The Review of Financial Studies, 26(11), 2718–2759. https://doi.org/10.1093/rfs/hht026
  • Ma, S., Linton, O., & Gao, J. Estimation and inference in semiparametric quantile factor models. (2021). Journal of Econometrics, 222(1), 295–323. Part B. https://doi.org/10.1016/j.jeconom.2020.07.003
  • Pagan, A. (1984). Econometric issues in the analysis of regressions with generated regressors. International Economic Review, 25(1), 221–247. https://doi.org/10.2307/2648877
  • Pelger, M., & Xiong, R. 2019. State-varying factor models of large dimensions. Papers 1807.02248v2, arXiv.org.
  • Pesaran, M. H. (2006). Estimation and inference in large heterogeneous panels with a multifactor error structure. Econometrica, 74(4), 967–1012. https://doi.org/10.1111/j.1468-0262.2006.00692.x
  • Portnoy, S. (1991). Asymptotic behavior of regression quantiles in nonstationary, dependent cases. Journal of Multivariate Analysis, 38(1), 100–113. https://doi.org/10.1016/0047-259X(91)90034-Y
  • Song, M. 2013. Essays on large panel data analysis. Ph.D. thesis, Columbia University.
  • Su, L., & Wang, X. (2017). On time-varying factor models: Estimation and testing. Journal of Econometrics, 198(1), 84–101. https://doi.org/10.1016/j.jeconom.2016.12.004
  • Wei, Y., & He, X. (2006). Conditional growth charts (with discussion). Annals of Statistics, 34(5), 2069–2097. https://doi.org/10.1214/009053606000000623
  • Yu, K., & Lu, Z. (2004). Local linear additive quantile regression. Scandinavian Journal of Statistics, 31(3), 333–346. https://doi.org/10.1111/j.1467-9469.2004.03_035.x