Quantile Autoregressive Distributed Lag Model with an Application to House Price Returns

This article studies quantile regression in an autoregressive dynamic framework with exogenous stationary covariates. We demonstrate the potential of the quantile autoregressive distributed lag model with an application to house price returns in the United Kingdom. The results show that house price...

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Bibliographic Details
Published in:Oxford bulletin of economics and statistics 2013-04, Vol.75 (2), p.307-321
Main Authors: Galvao JR, Antonio F., Montes-Rojas, Gabriel, Park, Sung Y.
Format: Article
Language:English
Subjects:
C14
C32
Covariance
Economic growth
Economic models
Gross domestic product
Housing prices
Interest rates
Regression analysis
Studies
United Kingdom
Vector-autoregressive models
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Summary:This article studies quantile regression in an autoregressive dynamic framework with exogenous stationary covariates. We demonstrate the potential of the quantile autoregressive distributed lag model with an application to house price returns in the United Kingdom. The results show that house price returns present a heterogeneous autoregressive behaviour across the quantiles. Real GDP growth and interest rates also have an asymmetric impact on house prices variations.
ISSN:0305-9049
1468-0084
DOI:10.1111/j.1468-0084.2011.00683.x