INVESTIGADORES
MONTES ROJAS Gabriel Victorio
artículos
Título:
Quantile autoregressive distributed lag model with an application to house price returns
Autor/es:
GALVAO, ANTONIO; SUNG-YONG PARK; MONTES ROJAS, GABRIEL VICTORIO
Revista:
OXFORD BULLETIN OF ECONOMICS AND STATISTICS
Editorial:
WILEY-BLACKWELL PUBLISHING, INC
Referencias:
Lugar: Oxford; Año: 2013 vol. 75 p. 307 - 321
ISSN:
0305-9049
Resumen:
This paper 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 behavior across the quantiles. The real GDP growth and interest rates also have an asymmetric impact on house prices variations.
