Quantile Autoregressive Distributed Lag Model with an Application to House Price Returns*
研究了带外生平稳协变量的自回归动态框架下的分位数回归，提出了分位数自回归分布滞后模型，并应用于英国房价收益率，发现房价收益率在不同分位数上呈现异质性自回归行为，且实际GDP增长和利率对房价变动有不对称影响。
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.