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.
Quantile Autoregressive Distributed Lag Model with an Application to House Price Returns†
Article first published online: 21 DEC 2011
© Blackwell Publishing Ltd and the Department of Economics, University of Oxford 2011
Oxford Bulletin of Economics and Statistics
Volume 75, Issue 2, pages 307–321, April 2013
How to Cite
Galvao JR., A. F., Montes-Rojas, G. and Park, S. Y. (2013), Quantile Autoregressive Distributed Lag Model with an Application to House Price Returns. Oxford Bulletin of Economics and Statistics, 75: 307–321. doi: 10.1111/j.1468-0084.2011.00683.x
- Issue published online: 4 MAR 2013
- Article first published online: 21 DEC 2011
- Final Manuscript Received: October 2011
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.