Expenditure side and income side GDP are both measured at the quarterly frequency in the US and contain measurement error. They are noisy proxies of `true’ GDP. Several econometric methods exist for producing estimates of true GDP which reconcile these noisy estimates. Recently, the authors of...

Quantile regression methods are increasingly used to forecast tail risks and uncertainties in macroeconomic outcomes. This paper reconsiders how to construct predictive densities from quantile regressions. We compare a popular two-step approach that fits a specific parametric density to the...