Quantile Autoregressive Distributed Lag Model with an Application to House Price Returns
Quantile Autoregressive Distributed Lag Model with an Application to House Price Returns
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Publisher
Oxford, UK: Blackwell Publishing Ltd
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Language
English
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Publisher
Oxford, UK: Blackwell Publishing Ltd
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Contents
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 beh...
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Full title
Quantile Autoregressive Distributed Lag Model with an Application to House Price Returns
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TN_cdi_proquest_miscellaneous_1317585375
Permalink
https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_proquest_miscellaneous_1317585375
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ISSN
0305-9049
E-ISSN
1468-0084
DOI
10.1111/j.1468-0084.2011.00683.x
