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).
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Bibliographic InfoPaper provided by Tilburg University, Center for Economic Research in its series Discussion Paper with number 2007-47.
Date of creation: 2007
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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)
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- Doukhan, Paul & Fokianos, Konstantinos & Li, Xiaoyin, 2012. "On weak dependence conditions: The case of discrete valued processes," Statistics & Probability Letters, Elsevier, vol. 82(11), pages 1941-1948.
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