Korobilis, Dimitris; Schröder, Maximilian - 2023
We propose a multicountry quantile factor augmeneted vector autoregression (QFAVAR) to model heterogeneities both … across countries and across characteristics of the distributions of macroeconomic time series. The presence of quantile … FAVAR with symmetric Gaussian errors, as well as univariate quantile autoregressions that ignore comovements among quantiles …