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Note on Integer-Valued Bilinear Time Series Models

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

    (Tilburg University, Center for Economic Research)

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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Bibliographic Info

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

Related research

Keywords: count data; integer-valued time series; bilinear model;

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