Note on Integer-Valued Bilinear Time Series Models

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Abstract

Summary. This note reconsiders the nonnegative integer-valued bilinear processes introduced by Doukhan, Latour, and Oraichi (2006). Using a hidden Markov argument, we extend their result of the existence of a stationary solution for the INBL(1,0,1,1) process to the class of superdiagonal INBL(p; q; m; n) models. Our approach also yields improved parameter restrictions for several moment conditions compared to the ones in Doukhan, Latour, and Oraichi (2006).
Original languageEnglish
Place of PublicationTilburg
PublisherEconometrics
Number of pages7
Volume2007-47
Publication statusPublished - 2007

Publication series

NameCentER Discussion Paper
Volume2007-47

Keywords

  • count data
  • integer-valued time series
  • bilinear model

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