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An asymptotic analysis of nearly unstable inar (1) models

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Author Info
Drost, Feike C.
Akker, Ramon van den
Werker, Bas J.M. (Tilburg University, Center for Economic Research)

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Abstract

This paper considers integer-valued autoregressive processes where the autoregression parameter is close to unity. We consider the asymptotics of this `near unit root' situation. The local asymptotic structure of the likelihood ratios of the model is obtained, showing that the limit experiment is Poissonian. This Poisson limit experiment is used to construct efficient estimators and tests.

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Paper provided by Tilburg University, Center for Economic Research in its series Discussion Paper with number 44.

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Date of creation: 2006
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Handle: RePEc:dgr:kubcen:200644

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Find related papers by JEL classification:
C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing
C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Estimation
C19 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Other

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  1. Jeganathan, P., 1995. "Some Aspects of Asymptotic Theory with Applications to Time Series Models," Econometric Theory, Cambridge University Press, vol. 11(05), pages 818-887, October. [Downloadable!]
  2. repec:cup:etheor:v:11:y:1995:i:5:p:818-87 is not listed on IDEAS
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This page was last updated on 2009-11-25.

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