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Quantile Autoregressive Distributed Lag Model with an Application to House Price Returns *
Author(s) -
Galvao JR. Antonio F.,
MontesRojas Gabriel,
Park Sung Y.
Publication year - 2013
Publication title -
oxford bulletin of economics and statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.131
H-Index - 73
eISSN - 1468-0084
pISSN - 0305-9049
DOI - 10.1111/j.1468-0084.2011.00683.x
Subject(s) - autoregressive model , distributed lag , quantile , quantile regression , econometrics , economics , lag , star model , house price , covariate , time series , autoregressive integrated moving average , statistics , mathematics , computer science , computer network
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.