City Research Online

Quantile autoregressive distributed lag model with an application to house price returns

Galvao Jr, A. F., Montes-Rojas, G. and Park, S. Y. (2009). Quantile autoregressive distributed lag model with an application to house price returns (Report No. 09/04). London, UK: Department of Economics, City University London.

Abstract

This paper studies quantile regression in an autoregressive dynamic framework with exogenous stationary covariates. Hence, we develop a quantile autoregressive distributed lag model (QADL). We show that these estimators are consistent and asymptotically normal. Inference based on Wald and Kolmogorov-Smirnov tests for general linear restrictions is proposed. An extensive Monte Carlo simulation is conducted to evaluate the properties of the estimators. We demonstrate the potential of the QADL model with an application to house price returns in the United Kingdom. The results show that house price returns present a heterogeneous autoregressive behavior across the quantiles. The real GDP growth and interest rates also have an asymmetric impact on house prices variations.

Publication Type: Monograph (Discussion Paper)
Additional Information: © 2009 the authors.
Publisher Keywords: quantile autoregression, distributed lag model, autoregressive model
Subjects: H Social Sciences > HB Economic Theory
Departments: School of Arts & Social Sciences > Economics > Discussion Paper Series
URI: http://openaccess.city.ac.uk/id/eprint/1500
[img]
Preview
Text - Draft Version
Download (532kB) | Preview

Export

Downloads

Downloads per month over past year

View more statistics

Actions (login required)

Admin Login Admin Login