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Generalized Integer-Valued Autoregression

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Author Info
Kurt Brännäs
Jörgen Hellström

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Abstract

The integer-valued AR1 model is generalized to encompass some of the more likely features of economic time series of count data. The generalizations come at the price of loosing exact distributional properties. For most specifications the first and second order both conditional and unconditional moments can be obtained. Hence estimation, testing and forecasting are feasible and can be based on least squares or GMM techniques. An illustration based on the number of plants within an industrial sector is considered.

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File URL: http://www.informaworld.com/openurl?genre=article&doi=10.1081/ETC-100106998&magic=repec&7C&7C8674ECAB8BB840C6AD35DC6213A474B5
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Publisher Info
Article provided by Taylor and Francis Journals in its journal Econometric Reviews.

Volume (Year): 20 (2001)
Issue (Month): 4 ()
Pages: 425-443
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Handle: RePEc:taf:emetrv:v:20:y:2001:i:4:p:425-443

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Related research
Keywords: Characterization; Dependence; Time series model; Estimation; Forecasting; Entry and exit; JEL+Classification:+C12> JEL Classification: C12; C13; C22; C25; C51;

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Newey, Whitney K & West, Kenneth D, 1987. "A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix," Econometrica, Econometric Society, vol. 55(3), pages 703-08, May. [Downloadable!] (restricted)
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  2. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-54, July. [Downloadable!] (restricted)
  3. Brännäs, Kurt & Hall, Andreia, 1998. "Estimation in integer - valued moving average models," UmeÃ¥ Economic Studies 477, Umeå University, Department of Economics.
  4. Richard Blundell & Rachel Griffith & Frank Windmeijer, 1999. "Individual effects and dynamics in count data models," IFS Working Papers W99/03, Institute for Fiscal Studies. [Downloadable!]
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  5. Tauchen, George, 1986. "Statistical Properties of Generalized Method-of-Moments Estimators of Structural Parameters Obtained from Financial Market Data," Journal of Business & Economic Statistics, American Statistical Association, vol. 4(4), pages 397-416, October.
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(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Andersson, Jonas & Karlis, Dimitris, 2008. "Treating missing values in INAR(1) models," Discussion Papers 2008/14, Department of Finance and Management Science, Norwegian School of Economics and Business Administration. [Downloadable!]
  2. Robert Noland & Mohammed Quddus & Washington Ochieng, 2008. "The effect of the London congestion charge on road casualties: an intervention analysis," Transportation, Springer, vol. 35(1), pages 73-91, January. [Downloadable!] (restricted)
  3. Hellström, Jörgen & Simonsen, Ola, 2006. "Does the Open Limit Order Book Reveal Information About Short-run Stock Price Movements?," UmeÃ¥ Economic Studies 687, Umeå University, Department of Economics. [Downloadable!]
  4. 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. [Downloadable!] (restricted)
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