Integer-valued autoregressive (INAR) processes have been introduced to model nonnegative integervalued phenomena that evolve in time. The distribution of an INAR(p) process is determined by two parameters: a vector of survival probabilities and a probability distribution on the nonnegative integers, called an immigration or innovation distribution. This paper provides an efficient estimator of the parameters, and in particular, shows that the INAR(p) model has the Local Asymptotic Normality property.
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Paper provided by Tilburg University, Center for Economic Research in its series Discussion Paper with number
45.
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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