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Local Asymptotic Normality and Efficient Estimation for inar (P) Models

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  • Drost, F.C.
  • Akker, R. van den
  • Werker, B.J.M.

    (Tilburg University, Center for Economic Research)

Abstract

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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Bibliographic Info

Paper provided by Tilburg University, Center for Economic Research in its series Discussion Paper with number 2006-45.

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Date of creation: 2006
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Handle: RePEc:dgr:kubcen:200645

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Web page: http://center.uvt.nl

Related research

Keywords: count data; integer-valued time series; information loss structure;

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  1. Gourieroux, C. & Jasiak, J., 2004. "Heterogeneous INAR(1) model with application to car insurance," Insurance: Mathematics and Economics, Elsevier, vol. 34(2), pages 177-192, April.
  2. Brännäs, Kurt & Quoreshi, Shahiduzzaman, 2004. "Integer-Valued Moving Average Modelling of the Number of Transactions in Stocks," UmeÃ¥ Economic Studies 637, Umeå University, Department of Economics.
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Cited by:
  1. 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.

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