An Asymptotic Analysis of Nearly Unstable inar (1) Models

Research output: Working paperDiscussion paperOther research output

263 Downloads (Pure)

Abstract

This paper considers integer-valued autoregressive processes where the autoregression parameter is close to unity.We consider the asymptotics of this `near unit root' situation.The local asymptotic structure of the likelihood ratios of the model is obtained, showing that the limit experiment is Poissonian.This Poisson limit experiment is used to construct efficient estimators and tests.
Original languageEnglish
Place of PublicationTilburg
PublisherEconometrics
Number of pages35
Volume2006-44
Publication statusPublished - 2006

Publication series

NameCentER Discussion Paper
Volume2006-44

Keywords

  • integer-valued times series
  • Poisson limit experiment
  • local-to-unity asymptotics

Fingerprint Dive into the research topics of 'An Asymptotic Analysis of Nearly Unstable inar (1) Models'. Together they form a unique fingerprint.

  • Cite this