Prüser, Jan; Huber, Florian - In: Journal of Applied Econometrics 39 (2023) 2, pp. 269-291
Modeling and predicting extreme movements in GDP is notoriously difficult, and the selection of appropriate covariates and/or possible forms of nonlinearities are key in obtaining precise forecasts. In this paper, our focus is on using large datasets in quantile regression models to forecast the...