Growth at risk

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Growth at risk

Postby paolo.zanghieri » Thu Feb 21, 2019 5:36 am

Good morning,
I am trying to replicate the approach used by the IMF to project the distribution of GDP growth a few quarters ahead. It entails
1/ running quantile regressions (at the 5th 25th 50th 75th and 95th %ile ) of GDP growth on a lag and an index of financial conditions
2/ make a forecast of the points of the distribution
3/ derive the whole distributon
(the procedure is explained in detail here ... .pdf?la=en)

steps 1 and 2 are straightforward, I wonder wheter #3 is feasible. The original paper uses a specific t-distribution, I'd be happy also with a standard t.
Thanks a lot

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