QFM--estimation of quantile factor model

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QFM--estimation of quantile factor model

Unread postby tclark » Fri May 12, 2023 3:58 pm

This attached procedure estimates the quantile factor model of Liang Chen, Juan J. Dolado, Jesús Gonzalo (2021), "Quantile Factor Models," Econometrica, p.875-910 (https://doi.org/10.3982/ECTA15746). The computations follow the Matlab function IQR.m of Chen, et al. I have verified that a few tests of results match up for this procedure compared to Matlab. But coding and computational efficiency could probably be improved.
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Todd Clark
Economic Research Dept.
Federal Reserve Bank of Cleveland
tclark
 
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