| 主讲人简介： | Junlong Feng is an Assistant Professor at HKUST. His primary research field is econometric theory, with particular interests in nonparametric identification, high dimensional panel data methods, quantile regression, etc. His research work has been published on Journal of Econometrics, Econometric Theory, etc. |
| 简介： | We propose a factor model and an estimator of the factors and loadings that are robust to weak factors. Our model can induce the standard mean and quantile factor models, but the factors can have an arbitrarily weak influence on the mean or quantile of the outcome variable at most quantile levels. Our estimators for factors, loadings, and common component are asymptotically normal at the root-N or root-T rate; such results do not not require the knowledge of whether or which of the factors are weak and how weak they are. We also develop a weak-factor-robust estimator of the number of factors and a consistent selectors of factors of any desired strength of influence on the mean or quantile of the outcome variable. Monte Carlo simulations demonstrate the effectiveness of our methods. |