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Quantile Autoregressive Distributed Lag Model with an Application to House Price Returns* |
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| Authors: | Antonio F. Galvao JR. Gabriel Montes‐Rojas Sung Y. Park |
| Affiliation: | 1. Department of Economics, University of Wisconsin‐Milwaukee and University of Iowa, Iowa City, IA 52242, USA (e‐mail: antonio-galvao@uiowa.edu);2. Department of Economics, City University London, London EC1V 0HB, UK (e‐mail: gabriel.montes-rojas.1@city.ac.uk);3. Department of Economics, The Chinese University of Hong Kong, Shatin, N.T., Hong Kong (e‐mail: sungpark@cuhk.edu.hk) |
| 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. |
| Keywords: | C14 C32 |