The aim of this paper is to construct a forecasting model oriented on predicting basic macroeconomic variables, namely: the GDP growth rate, the unemployment rate, and the consumer price inflation. In order to select the set of the best regressors, Bayesian Averaging of Classical Estimators...

Quantile regression has become widely used in empirical macroeconomics, in particular for estimating and forecasting tail risks to macroeconomic indicators. In this paper we examine various choices in the specification of quantile regressions for macro applications, for example, choices related...