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A new class of Z-valued INAR(1) models with application to mutual fund flows

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  • Kang, Yao
  • Zhang, Yuqing
  • Wang, Shuhui
  • Zhao, Zhiwen

Abstract

Z-valued time series, which have discrete and quantitative observations on the set Z={...,−2,−1,0,1,2,…}, are commonly observed in economics and finance. Z-valued versions of integer-valued autoregressive (INAR) models are frequently employed to fit Z-valued time series. However, the existing Z-valued INAR models encounter difficulties in data generation mechanism and statistical inference. To enhance the modeling and prediction of Z-valued time series, this article constructs a class of Z-valued INAR(1) models from a new perspective and studies the related statistical inference problem. Empirically, an application to mutual fund flows demonstrates that our model offers satisfactory performance in economics and finance.

Suggested Citation

  • Kang, Yao & Zhang, Yuqing & Wang, Shuhui & Zhao, Zhiwen, 2025. "A new class of Z-valued INAR(1) models with application to mutual fund flows," Economics Letters, Elsevier, vol. 252(C).
    • Handle: RePEc:eee:ecolet:v:252:y:2025:i:c:s0165176525001764
    DOI: 10.1016/j.econlet.2025.112339
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    JEL classification:

    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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