Efficient Estimation of Autoregression Parameters and Innovation Distributions for Semiparametric Integer-Valued AR(p) Models (Subsequently replaced by DP 2008-53)
AbstractInteger-valued autoregressive (INAR) processes have been introduced to model nonnegative integer-valued phenomena that evolve over time. The distribution of an INAR(p) process is essentially described by two parameters: a vector of autoregression coefficients and a probability distribution on the nonnegative integers, called an immigration or innovation distribution. Traditionally, parametric models are considered where the innovation distribution is assumed to belong to a parametric family. This paper instead considers a more realistic semiparametric INAR(p) model: essentially there are no restrictions on the innovation distribution. We provide an (semiparametrically) efficient estimator of the autoregression parameters and the innovation distribution.
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Bibliographic InfoPaper provided by Tilburg University, Center for Economic Research in its series Discussion Paper with number 2007-23.
Date of creation: 2007
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count data; nonparametric maximum likelihood; infinite-dimensional Z-estimator; semiparametric efficiency;
Find related papers by JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
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