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Estimation in conditional first order autoregression with discrete support

Author

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  • Robert Jung

    ()

  • Gerd Ronning
  • A. Tremayne

Abstract

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Suggested Citation

  • Robert Jung & Gerd Ronning & A. Tremayne, 2005. "Estimation in conditional first order autoregression with discrete support," Statistical Papers, Springer, vol. 46(2), pages 195-224, April.
  • Handle: RePEc:spr:stpapr:v:46:y:2005:i:2:p:195-224 DOI: 10.1007/BF02762968
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    References listed on IDEAS

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    1. Robert C. Jung & A. R. Tremayne, 2003. "Testing for serial dependence in time series models of counts," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(1), pages 65-84, January.
    2. MacKinnon, James G. & Smith Jr., Anthony A., 1998. "Approximate bias correction in econometrics," Journal of Econometrics, Elsevier, pages 205-230.
    3. Wei, C. Z. & Winnicki, J., 1989. "Some asymptotic results for the branching process with immigration," Stochastic Processes and their Applications, Elsevier, vol. 31(2), pages 261-282, April.
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    Citations

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    Cited by:

    1. Schweer, Sebastian & Weiß, Christian H., 2014. "Compound Poisson INAR(1) processes: Stochastic properties and testing for overdispersion," Computational Statistics & Data Analysis, Elsevier, pages 267-284.
    2. Christian Weiß & Hee-Young Kim, 2013. "Parameter estimation for binomial AR(1) models with applications in finance and industry," Statistical Papers, Springer, pages 563-590.
    3. Christian Weiß, 2008. "Thinning operations for modeling time series of counts—a survey," AStA Advances in Statistical Analysis, Springer;German Statistical Society, pages 319-341.
    4. Jung, Robert C. & Tremayne, A.R., 2006. "Coherent forecasting in integer time series models," International Journal of Forecasting, Elsevier, vol. 22(2), pages 223-238.
    5. Chen Xi & Wang Lihong, 2013. "Conditional L1 estimation for random coefficient integer-valued autoregressive processes," Statistics & Risk Modeling, De Gruyter, pages 221-235.
    6. Bisaglia, Luisa & Canale, Antonio, 2016. "Bayesian nonparametric forecasting for INAR models," Computational Statistics & Data Analysis, Elsevier, pages 70-78.
    7. 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.
    8. Predrag M. Popović & Miroslav M. Ristić & Aleksandar S. Nastić, 2016. "A geometric bivariate time series with different marginal parameters," Statistical Papers, Springer, vol. 57(3), pages 731-753, September.
    9. Sebastian Schweer & Christian H. Weiß, 2016. "Testing for Poisson arrivals in INAR(1) processes," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, pages 503-524.
    10. Luisa Bisaglia & Margherita Gerolimetto, 2015. "Forecasting integer autoregressive processes of order 1: are simple AR competitive?," Economics Bulletin, AccessEcon, vol. 35(3), pages 1652-1660.
    11. repec:spr:empeco:v:53:y:2017:i:2:d:10.1007_s00181-016-1140-2 is not listed on IDEAS

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