Functional coefficient quantile regression model with time-varying loadings

ATAK A., Montes-Rojas G., Olmo J.

Journal of Applied Economics, cilt.26, sa.1, 2023 (SSCI) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 26 Sayı: 1
  • Basım Tarihi: 2023
  • Doi Numarası: 10.1080/15140326.2023.2167151
  • Dergi Adı: Journal of Applied Economics
  • Derginin Tarandığı İndeksler: Social Sciences Citation Index (SSCI), Scopus, International Bibliography of Social Sciences, ABI/INFORM, Business Source Elite, Business Source Premier, EconLit, Directory of Open Access Journals
  • Anahtar Kelimeler: Quantile factor model, time-varying factor loadings, partially linear regression model, panel data, PANEL-DATA, OF-FIT, INFERENCE, RETURNS
  • Orta Doğu Teknik Üniversitesi Kuzey Kıbrıs Kampüsü Adresli: Evet

Özet

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.