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Semi-parametric Matrix Quantile Factor Model with Model Specification Testing

https://doi.org/10.2139/ssrn.5690336
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inferredcites →https://doi.org/10.1016/j.jeconom.2016.01.008openalex-snapshot
Smoothed Quantile Regression for Panel Data
inferredcites →https://doi.org/10.1016/j.jeconom.2018.09.013openalex-snapshot
Factor models for matrix-valued high-dimensional time series
inferredcites →https://doi.org/10.1016/j.jeconom.2021.04.001openalex-snapshot
Projected estimation for large-dimensional matrix factor models
inferredcites →https://doi.org/10.1016/j.jeconom.2021.07.010openalex-snapshot
Smoothed quantile regression with large-scale inference
inferredcites →https://doi.org/10.1016/s1573-4412(07)06076-xopenalex-snapshot
Chapter 76 Large Sample Sieve Estimation of Semi-Nonparametric Models
inferredcites →https://doi.org/10.1017/s0266466625100091openalex-snapshot
THREE-DIMENSIONAL FACTOR MODELS WITH GLOBAL AND LOCAL FACTORS
inferredcites →https://doi.org/10.1080/01621459.2021.1912757openalex-snapshot
Factor Models for High-Dimensional Tensor Time Series
inferredcites →https://doi.org/10.1080/07350015.2023.2191676openalex-snapshot
Matrix Factor Analysis: From Least Squares to Iterative Projection
inferredcites →https://doi.org/10.1093/jrsssb/qkad077openalex-snapshot
Two-way dynamic factor models for high-dimensional matrix-valued time series
inferredcites →https://doi.org/10.1093/jrsssb/qkae001openalex-snapshot
Semi-parametric tensor factor analysis by iteratively projected singular value decomposition
inferredcites →https://doi.org/10.1162/003465300559037openalex-snapshot
The Generalized Dynamic-Factor Model: Identification and Estimation
inferredcites →https://doi.org/10.2139/ssrn.3730468openalex-snapshot
Quantile Factor Models
inferredcites →https://doi.org/10.2307/1912275openalex-snapshot
Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
inferredcites →https://doi.org/10.2307/1912276openalex-snapshot
Funds, Factors, and Diversification in Arbitrage Pricing Models
inferredcites →https://doi.org/10.3982/ecta7432openalex-snapshot
Efficient Semiparametric Estimation of the Fama-French Model and Extensions
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