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2011•Oxford Bulletin of Economics and StatisticsRequires access

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

Antonio F. Galvao, Gabriel Montes‐Rojas, Sung Y. Park

Open publisher page 59 citations

Abstract

Abstract 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.

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What this paper is about

Abstract 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.

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Available abstract

Abstract 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.

Key concepts: Autoregressive model, Distributed lag, Quantile, Quantile regression, Econometrics, Economics, Lag, STAR model

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