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Estimation in conditional first order autoregression with discrete support

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Author Info

  • Robert Jung

    ()

  • Gerd Ronning
  • A. Tremayne

Abstract

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File URL: http://hdl.handle.net/10.1007/BF02762968
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Bibliographic Info

Article provided by Springer in its journal Statistical Papers.

Volume (Year): 46 (2005)
Issue (Month): 2 (April)
Pages: 195-224

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Handle: RePEc:spr:stpapr:v:46:y:2005:i:2:p:195-224

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Web page: http://www.springer.com/statistics/business/journal/362

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Related research

Keywords: Bias correction; Estimation; INAR models; Overdispersion; Small sample properties; Time series of counts;

References

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  1. James G. MacKinnon & Anthony A. Smith Jr., 1995. "Approximate Bias Correction in Econometrics," Working Papers 919, Queen's University, Department of Economics.
  2. Wei, C. Z. & Winnicki, J., 1989. "Some asymptotic results for the branching process with immigration," Stochastic Processes and their Applications, Elsevier, vol. 31(2), pages 261-282, April.
  3. Robert C. Jung & A. R. Tremayne, 2003. "Testing for serial dependence in time series models of counts," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(1), pages 65-84, 01.
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Citations

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Cited by:
  1. Christian Weiß, 2008. "Thinning operations for modeling time series of counts—a survey," AStA Advances in Statistical Analysis, Springer, vol. 92(3), pages 319-341, August.
  2. Christian Weiß & Hee-Young Kim, 2013. "Parameter estimation for binomial AR(1) models with applications in finance and industry," Statistical Papers, Springer, vol. 54(3), pages 563-590, August.
  3. Drost, F.C. & Akker, R. van den & Werker, B.J.M., 2007. "Efficient Estimation of Autoregression Parameters and Innovation Distributions for Semiparametric Integer-Valued AR(p) Models (Subsequently replaced by DP 2008-53)," Discussion Paper 2007-23, Tilburg University, Center for Economic Research.
  4. Jung, Robert C. & Tremayne, A.R., 2006. "Coherent forecasting in integer time series models," International Journal of Forecasting, Elsevier, vol. 22(2), pages 223-238.

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