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A Flexible Observation-Driven Stationary Bivariate Negative Binomial INAR(1) with Non-homogeneous Levels of Over-dispersion

Author

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  • Mamode Khan Naushad

    (Department of Economics and Statistics, University of Mauritius, Reduit, Mauritius)

  • Sunecher Yuvraj

    (Department of Economics and Statistics, University of Mauritius, Reduit, Mauritius)

  • Jowaheer Vandna

    (Department of Economics and Statistics, University of Mauritius, Reduit, Mauritius)

Abstract

The existing bivariate integer-valued autoregressive process of order 1 (BINAR(1)) with negative binomial (NB) innovations is developed under stationary moment conditions and in particular under same level of over-dispersion index. In this paper, we propose a flexible BINAR(1) under NB innovations where the counting series are subject to two different levels of over-dispersion under same stationary moment condition. The unknown parameters of the new model are estimated using a generalized quasi-likelihood (QL) estimating equation. The performance of this estimation method is assessed through some numerical experiments under different time dimensions.

Suggested Citation

  • Mamode Khan Naushad & Sunecher Yuvraj & Jowaheer Vandna, 2018. "A Flexible Observation-Driven Stationary Bivariate Negative Binomial INAR(1) with Non-homogeneous Levels of Over-dispersion," Journal of Time Series Econometrics, De Gruyter, vol. 10(2), pages 1-8, July.
    • Handle: RePEc:bpj:jtsmet:v:10:y:2018:i:2:p:8:n:2
    DOI: 10.1515/jtse-2016-0028
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