2 papers
econ.EM2023
Testing Quantile Forecast Optimality
Jack Fosten, Daniel Gutknecht, Marc-Oliver Pohle
Quantile forecasts made across multiple horizons have become an important output of many financial institutions, central banks and international organisations. This paper proposes…
econ.EM2019
Testing for Quantile Sample Selection
Valentina Corradi, Daniel Gutknecht
This paper provides tests for detecting sample selection in nonparametric conditional quantile functions. The first test is an omitted predictor test with the propensity score as t…