Specification Choices in Quantile Regression for Empirical Macroeconomics

Quantile regression has become widely used in empirical macroeconomics, in particular for estimating and forecasting tail risks. This paper examines various choices in the specification of quantile regressions for macro applications, including how and to what extent to include shrinkage and whether...

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Bibliographic Details

Published in:	Journal of applied econometrics (Chichester, England)
Main Authors:	Carriero, Andrea, Clark, Todd E., Marcellino, Massimiliano
Format:	Journal Article
Language:	English
Published:	10-11-2024
Online Access:	Get full text
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