### Abstract

Original language | English |
---|---|

Place of Publication | Tilburg |

Publisher | Econometrics |

Number of pages | 35 |

Volume | 2006-44 |

Publication status | Published - 2006 |

### Publication series

Name | CentER Discussion Paper |
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Volume | 2006-44 |

### Fingerprint

### Keywords

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

### Cite this

*An Asymptotic Analysis of Nearly Unstable inar (1) Models*. (CentER Discussion Paper; Vol. 2006-44). Tilburg: Econometrics.

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

Research output: Working paper › Discussion paper › Other 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 -