Economics at your fingertips  

Constructing Density Forecasts from Quantile Regressions

Wagner Gaglianone () and Luiz Lima ()

Journal of Money, Credit and Banking, 2012, vol. 44, issue 8, 1589-1607

Abstract: The departure from the traditional concern with the central tendency is in line with the increasing recognition that an assessment of the degree of uncertainty surrounding a point forecast is indispensable (Clements 2004). We propose an econometric model to estimate the conditional density without relying on assumptions about the parametric form of the conditional distribution of the target variable. The methodology is applied to the U.S. unemployment rate and the survey of professional forecasts. Specification tests based on Koenker and Xiao (2002) and Gaglianone et al. (2011) indicate that our approach correctly approximates the true conditional density.

Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)

Related works:
Journal Article: Constructing Density Forecasts from Quantile Regressions (2012) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Access Statistics for this article

Journal of Money, Credit and Banking is currently edited by Robert deYoung, Paul Evans, Pok-Sang Lam and Kenneth D. West

More articles in Journal of Money, Credit and Banking from Blackwell Publishing
Bibliographic data for series maintained by Wiley Content Delivery ().

Page updated 2020-10-26
Handle: RePEc:wly:jmoncb:v:44:y:2012:i:8:p:1589-1607