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

Authors


  •  The authors would like to express their appreciation to Christopher Adam, two anonymous referees, Dan Bernhardt, Odilon Camara, Roger Koenker, Luiz Lima, Simone Manganelli and the participants of seminars at University of Wisconsin-Milwaukee and the 2008 XMU-HUB Workshop on Economics and Financial Econometrics for helpful comments and discussions. All the remaining errors are ours.

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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