Investigating Growth-at-Risk Using a Multicountry Non-parametric Quantile Factor Model

Todd E. Clark, Florian Huber, Gary Koop, Massimiliano Marcellino, Michael Pfarrhofer*

*Corresponding author for this work

Publication: Scientific journalJournal articlepeer-review

Abstract

We develop a non-parametric quantile panel regression model. Within each quantile, the response function is a combination of linear and nonlinear parts, which we approximate using Bayesian Additive Regression Trees (BART). Cross-sectional information is captured through a conditionally heteroskedastic latent factor. The non-parametric feature enhances flexibility, while the panel feature increases the number of observations in the tails. We develop Bayesian methods for inference and apply several versions of the model to study growth-at-risk dynamics in a panel of 11 advanced economies. Our framework usually improves upon single-country quantile models in recursive growth forecast comparisons.
Original languageEnglish
JournalJournal of Business & Economic Statistics
DOIs
Publication statusE-pub ahead of print - 24 Jan 2024

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