Local developing with online DB

Hello,

I’m looking for a way to set-up locally a wordpress. I know how to do it with a local SQL, but I’d like the SQL to be online on my hosting provider’s server.
I’ll add I’m starting a clean install (no existing DB).

Is it possible? If it is, how to? I tried simply by creating the database, and editing my wp-config with the correct information, but it doesn’t work (install can’t run, no db connection).

Thank you!