An Asymptotic Analysis of Nearly Unstable inar (1) Models

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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

Fingerprint

Asymptotic analysis
Experiment
Autoregressive process
Autoregression
Estimator
Likelihood ratio
Integer
Near unit root

Keywords

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

Cite this

Drost, F. C., van den Akker, R., & Werker, B. J. M. (2006). An Asymptotic Analysis of Nearly Unstable inar (1) Models. (CentER Discussion Paper; Vol. 2006-44). Tilburg: Econometrics.
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title = "An Asymptotic Analysis of Nearly Unstable inar (1) Models",
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.",
keywords = "integer-valued times series, Poisson limit experiment, local-to-unity asymptotics",
author = "F.C. Drost and {van den Akker}, R. and B.J.M. Werker",
note = "Subsequently published in Bernoulli, 2009 (rt) Pagination: 35",
year = "2006",
language = "English",
volume = "2006-44",
series = "CentER Discussion Paper",
publisher = "Econometrics",
type = "WorkingPaper",
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}

Drost, FC, van den Akker, R & Werker, BJM 2006 'An Asymptotic Analysis of Nearly Unstable inar (1) Models' CentER Discussion Paper, vol. 2006-44, Econometrics, Tilburg.

An Asymptotic Analysis of Nearly Unstable inar (1) Models. / Drost, F.C.; van den Akker, R.; Werker, B.J.M.

Tilburg : Econometrics, 2006. (CentER Discussion Paper; Vol. 2006-44).

Research output: Working paperDiscussion paperOther research output

TY - UNPB

T1 - An Asymptotic Analysis of Nearly Unstable inar (1) Models

AU - Drost, F.C.

AU - van den Akker, R.

AU - Werker, B.J.M.

N1 - Subsequently published in Bernoulli, 2009 (rt) Pagination: 35

PY - 2006

Y1 - 2006

N2 - 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.

AB - 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.

KW - integer-valued times series

KW - Poisson limit experiment

KW - local-to-unity asymptotics

M3 - Discussion paper

VL - 2006-44

T3 - CentER Discussion Paper

BT - An Asymptotic Analysis of Nearly Unstable inar (1) Models

PB - Econometrics

CY - Tilburg

ER -