Note on Integer-Valued Bilinear Time Series Models

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Note on Integer-Valued Bilinear Time Series Models

Author Info

Drost, F.C.
Akker, R. van den
Werker, B.J.M. (Tilburg University, Center for Economic Research)

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Abstract

Summary. This note reconsiders the nonnegative integer-valued bilinear processes introduced by Doukhan, Latour, and Oraichi (2006). Using a hidden Markov argument, we extend their result of the existence of a stationary solution for the INBL(1,0,1,1) process to the class of superdiagonal INBL(p; q; m; n) models. Our approach also yields improved parameter restrictions for several moment conditions compared to the ones in Doukhan, Latour, and Oraichi (2006).

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Paper provided by Tilburg University, Center for Economic Research in its series Discussion Paper with number 2007-47.

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Date of creation: 2007
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Handle: RePEc:dgr:kubcen:200747

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Article
- Drost, Feike C. & van den Akker, Ramon & Werker, Bas J.M., 2008. "Note on integer-valued bilinear time series models," Statistics & Probability Letters, Elsevier, vol. 78(8), pages 992-996, June. [Downloadable!] (restricted)

Find related papers by JEL classification:
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions

This paper has been announced in the following NEP Reports:

NEP-ALL-2007-09-02 (All new papers)
NEP-ECM-2007-09-02 (Econometrics)
NEP-ETS-2007-09-02 (Econometric Time Series)

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