Out-of-sample tests for conditional quantile coverage an application to Growth-at-Risk

DOI10.1016/J.JECONOM.2023.105490MaRDI QIDQ6054399zbMATH OpenFDO

Authors Valentina Corradi, Jack Fosten, Daniel Gutknecht

Publication date 28 September 2023

Published in Journal of Econometrics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1016/J.JECONOM.2023.105490

zbMATH Keywords

growth-at-riskinterval predictionmultiple hypothesis testingquantile regressionweak moment inequalitieswild bootstrap

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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Cited in

(3)

• An Oracle Inequality for Multivariate Dynamic Quantile Forecasting
• Testing Quantile Forecast Optimality
• Monitoring joint tail risks: an application to growth and inflation

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