Out-of-sample tests for conditional quantile coverage an application to Growth-at-Risk
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Publication:6054399
DOI10.1016/j.jeconom.2023.105490MaRDI QIDQ6054399
Jack Fosten, Valentina Corradi, Daniel Gutknecht
Publication date: 28 September 2023
Published in: Journal of Econometrics (Search for Journal in Brave)
quantile regressionmultiple hypothesis testingwild bootstrapinterval predictiongrowth-at-riskweak moment inequalities
Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)
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