Constructing Density Forecasts from Quantile Regressions


  • The authors thank the editor Kenneth D. West, two anonymous referees, Emanuel Kohlscheen, Fabio Araujo, and participants of various conferences and seminars for their helpful comments and suggestions. Lima thanks CNPq for financial support as well as seminar participants of the University of Tennessee. The opinions expressed in this article are those of the authors and do not necessarily reflect those of the Banco Central do Brasil. Any remaining errors are ours.


The departure from the traditional concern with the central tendency is in line with the increasing recognition that an assessment of the degree of uncertainty surrounding a point forecast is indispensable (Clements 2004). We propose an econometric model to estimate the conditional density without relying on assumptions about the parametric form of the conditional distribution of the target variable. The methodology is applied to the U.S. unemployment rate and the survey of professional forecasts. Specification tests based on Koenker and Xiao (2002) and Gaglianone et al. (2011) indicate that our approach correctly approximates the true conditional density.