Local Asymptotic Normality and Efficient Estimation for inar (P) Models

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Abstract

Integer-valued autoregressive (INAR) processes have been introduced to model nonnegative integervalued phenomena that evolve in time.The distribution of an INAR(p) process is determined by two parameters: a vector of survival probabilities and a probability distribution on the nonnegative integers, called an immigration or innovation distribution.This paper provides an efficient estimator of the parameters, and in particular, shows that the INAR(p) model has the Local Asymptotic Normality property.
Original languageEnglish
Place of PublicationTilburg
PublisherEconometrics
Number of pages30
Volume2006-45
Publication statusPublished - 2006

Publication series

NameCentER Discussion Paper
Volume2006-45

Keywords

  • count data
  • integer-valued time series
  • information loss structure

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