• Corpus ID: 238419052

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

@inproceedings{Clark2021InvestigatingGA,
  title={Investigating Growth at Risk Using a Multi-country Non-parametric Quantile Factor Model},
  author={Todd E. Clark and Florian Huber and Gary Koop and Massimiliano Marcellino and Michael Pfarrhofer},
  year={2021}
}
We develop a Bayesian non-parametric quantile panel regression model. Within each quantile, the response function is a convex combination of a linear model and a non-linear function, which we approximate using Bayesian Additive Regression Trees (BART). Cross-sectional information at the p quantile is captured through a conditionally heteroscedastic latent factor. The non-parametric feature of our model enhances flexibility, while the panel feature, by exploiting cross-country information… 
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