Note on Integer-Valued Bilinear Time Series Models
AbstractSummary. 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).
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Tilburg University, Center for Economic Research in its series Discussion Paper with number 2007-47.
Date of creation: 2007
Date of revision:
Contact details of provider:
Web page: http://center.uvt.nl
count data; integer-valued time series; bilinear model;
Other versions of this item:
- 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.
- Drost, F.C. & Akker, R. van den & Werker, B.J.M., 2008. "Note on integer-valued bilinear time series models," Open Access publications from Tilburg University urn:nbn:nl:ui:12-347715, Tilburg University.
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
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)
You can help add them by filling out this form.
reading list or among the top items on IDEAS.Access and download statistics
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Corry Stuyts).
If references are entirely missing, you can add them using this form.