Functional coefficient quantile regression model with time-varying loadings
Functional coefficient quantile regression model with time-varying loadings
This paper proposes a functional coefficient quantile regression model with heterogeneous and time-varying regression coefficients and factor loadings. Estimation of the model coefficients is done in two stages. First, we estimate the unobserved common factors from a linear factor model with exogenous covariates. Second, we plug-in an affine transformation of the estimated common factors to obtain the functional coefficient quantile regression model. The quantile parameter estimators are consistent and asymptotically normal. The application of this model to the quantile process of a cross-section of U.S. firms’ excess returns confirms the predictive ability of firm-specific covariates and the good performance of the local estimator of the heterogeneous and time-varying quantile coefficients.
Quantile factor model, panel data, partially linear regression model, time-varying factor loadings
Atak, Alev
672c1e4c-1638-4bb8-9543-0b06b20f8120
Montes-Rojas, G.
d139fc6a-1f73-4db6-bb54-a38d14a7b030
Olmo, Jose
706f68c8-f991-4959-8245-6657a591056e
30 January 2023
Atak, Alev
672c1e4c-1638-4bb8-9543-0b06b20f8120
Montes-Rojas, G.
d139fc6a-1f73-4db6-bb54-a38d14a7b030
Olmo, Jose
706f68c8-f991-4959-8245-6657a591056e
Atak, Alev, Montes-Rojas, G. and Olmo, Jose
(2023)
Functional coefficient quantile regression model with time-varying loadings.
Journal of Applied Economics, 26 (1), [2167151].
(doi:10.1080/15140326.2023.2167151).
Abstract
This paper proposes a functional coefficient quantile regression model with heterogeneous and time-varying regression coefficients and factor loadings. Estimation of the model coefficients is done in two stages. First, we estimate the unobserved common factors from a linear factor model with exogenous covariates. Second, we plug-in an affine transformation of the estimated common factors to obtain the functional coefficient quantile regression model. The quantile parameter estimators are consistent and asymptotically normal. The application of this model to the quantile process of a cross-section of U.S. firms’ excess returns confirms the predictive ability of firm-specific covariates and the good performance of the local estimator of the heterogeneous and time-varying quantile coefficients.
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Atak_MontesRojas_Olmo.pdf
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Functional coefficient quantile regression model with time varying loadings
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Accepted/In Press date: 1 January 2023
e-pub ahead of print date: 30 January 2023
Published date: 30 January 2023
Additional Information:
Publisher Copyright:
© 2023 The Author(s). Published by Informa UK Limited, trading as Taylor & Francis Group.
Keywords:
Quantile factor model, panel data, partially linear regression model, time-varying factor loadings
Identifiers
Local EPrints ID: 474771
URI: http://eprints.soton.ac.uk/id/eprint/474771
ISSN: 1667-6726
PURE UUID: b7ec1717-c9b2-4113-9a60-867c4a394713
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Date deposited: 02 Mar 2023 17:46
Last modified: 17 Mar 2024 03:32
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Author:
Alev Atak
Author:
G. Montes-Rojas
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