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Estimation and testing for a Poisson autoregressive model

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  • Fukang Zhu

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  • Dehui Wang

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Suggested Citation

  • Fukang Zhu & Dehui Wang, 2011. "Estimation and testing for a Poisson autoregressive model," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 73(2), pages 211-230, March.
  • Handle: RePEc:spr:metrik:v:73:y:2011:i:2:p:211-230 DOI: 10.1007/s00184-009-0274-z
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    References listed on IDEAS

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    1. Dehui Wang & Lixin Song & Ningzhong Shi, 2004. "Estimation and testing for the parameters of ARCH(q) under ordered restriction," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(4), pages 483-499, July.
    2. S. Chandra & Masanobu Taniguchi, 2001. "Estimating Functions for Nonlinear Time Series Models," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, pages 125-141.
    3. Richard A. Davis, 2003. "Observation-driven models for Poisson counts," Biometrika, Biometrika Trust, vol. 90(4), pages 777-790, December.
    4. Arup Bose & Kanchan Mukherjee, 2003. "Estimating The Arch Parameters By Solving Linear Equations," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(2), pages 127-136, March.
    5. Zhu, Fukang & Wang, Dehui, 2010. "Diagnostic checking integer-valued ARCH(p) models using conditional residual autocorrelations," Computational Statistics & Data Analysis, Elsevier, pages 496-508.
    6. René Ferland & Alain Latour & Driss Oraichi, 2006. "Integer-Valued GARCH Process," Journal of Time Series Analysis, Wiley Blackwell, vol. 27(6), pages 923-942, November.
    7. Haitao Zheng & Ishwar V. Basawa & Somnath Datta, 2006. "Inference for pth-order random coefficient integer-valued autoregressive processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 27(3), pages 411-440, May.
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    Cited by:

    1. repec:eee:csdana:v:56:y:2012:i:12:p:4229-4242 is not listed on IDEAS
    2. Fukang Zhu & Lei Shi & Shuangzhe Liu, 2015. "Influence diagnostics in log-linear integer-valued GARCH models," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 99(3), pages 311-335, July.
    3. Weiß, Christian H. & Schweer, Sebastian, 2016. "Bias corrections for moment estimators in Poisson INAR(1) and INARCH(1) processes," Statistics & Probability Letters, Elsevier, pages 124-130.
    4. Weiß, Christian H., 2010. "INARCH(1) processes: Higher-order moments and jumps," Statistics & Probability Letters, Elsevier, pages 1771-1780.
    5. repec:spr:metrik:v:80:y:2017:i:5:d:10.1007_s00184-017-0617-0 is not listed on IDEAS
    6. Scotto, Manuel G. & Weiß, Christian H. & Silva, Maria Eduarda & Pereira, Isabel, 2014. "Bivariate binomial autoregressive models," Journal of Multivariate Analysis, Elsevier, vol. 125(C), pages 233-251.
    7. Christian Weiß, 2015. "A Poisson INAR(1) model with serially dependent innovations," Metrika: International Journal for Theoretical and Applied Statistics, Springer, pages 829-851.

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