Parameter estimation for binomial AR(1) models with applications in finance and industry
Methods for analyzing and modeling count data time series are used in various fields of practice, and they are particularly relevant for applications in finance and economy. We consider the binomial autoregressive (AR(1)) model for count data processes with a first-order AR dependence structure and a binomial marginal distribution. We present four approaches for estimating its model parameters based on given time series data, and we derive expressions for the asymptotic distribution of these estimators. Then we investigate the finite-sample performance of the estimators and of the respective asymptotic approximations in a simulation study, including a discussion of the 2-block jackknife. We illustrate our methods and findings with a real-data example about transactions at the Korea stock market. We conclude with an application of our results for obtaining reliable estimates for process capability indices. Copyright Springer-Verlag 2013
Volume (Year): 54 (2013)
Issue (Month): 3 (August)
|Contact details of provider:|| Web page: http://www.springer.com/statistics/business/journal/362|
|Order Information:||Web: http://link.springer.de/orders.htm|
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Brännäs, Kurt & Quoreshi, Shahiduzzaman, 2004.
"Integer-Valued Moving Average Modelling of the Number of Transactions in Stocks,"
Umeå Economic Studies
637, Umeå University, Department of Economics.
- Kurt Brannas & A. M. M. Shahiduzzaman Quoreshi, 2010. "Integer-valued moving average modelling of the number of transactions in stocks," Applied Financial Economics, Taylor & Francis Journals, vol. 20(18), pages 1429-1440.
- Konstantinos Fokianos & Anders Rahbek & Dag Tjøstheim, 2008.
08-35, University of Copenhagen. Department of Economics, revised Dec 2008.
- 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.
- Jung, Robert C. & Kukuk, Martin & Liesenfeld, Roman, 2006. "Time series of count data: modeling, estimation and diagnostics," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2350-2364, December.
- Heinen, Andreas, 2003.
"Modelling Time Series Count Data: An Autoregressive Conditional Poisson Model,"
8113, University Library of Munich, Germany.
- HEINEN, Andréas, 2003. "Modelling time series count data: an autoregressive conditional Poisson model," CORE Discussion Papers 2003062, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Peter C. B. Phillips, 2005.
"Jackknifing Bond Option Prices,"
Review of Financial Studies,
Society for Financial Studies, vol. 18(2), pages 707-742.
- Jun Yu & Peter Phillips, 2004. "Jackknifing Bond Option Prices," Econometric Society 2004 North American Winter Meetings 115, Econometric Society.
- Peter C.B. Phillips & Jun Yu, 2003. "Jackknifing Bond Option Prices," Cowles Foundation Discussion Papers 1392, Cowles Foundation for Research in Economics, Yale University.
- Robert Jung & A. Tremayne, 2011. "Useful models for time series of counts or simply wrong ones?," AStA Advances in Statistical Analysis, Springer, vol. 95(1), pages 59-91, March.
- Marcus J Chambers, 2010.
"Jackknife Estimation of Stationary Autoregressive Models,"
Economics Discussion Papers
684, University of Essex, Department of Economics.
- Chambers, Marcus J., 2013. "Jackknife estimation of stationary autoregressive models," Journal of Econometrics, Elsevier, vol. 172(1), pages 142-157.
- Christian Weiß, 2008. "Thinning operations for modeling time series of counts—a survey," AStA Advances in Statistical Analysis, Springer, vol. 92(3), pages 319-341, August.
When requesting a correction, please mention this item's handle: RePEc:spr:stpapr:v:54:y:2013:i:3:p:563-590. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Guenther Eichhorn)or (Christopher F Baum)
If references are entirely missing, you can add them using this form.