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"Ergodicity, Mixing, And Existence Of Moments Of A Class Of Markov Models With Applications To Garch And Acd Models,"
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More about this item
Keywordsasymptotic theory; count data; generalized linear models; geometric ergodicity; integer GARCH; likelihood; noncanonical link function; observation driven models; Poisson regression; ø-irreducibility.;
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ECM-2009-04-05 (Econometrics)
- NEP-ETS-2009-04-05 (Econometric Time Series)
- NEP-ORE-2009-04-05 (Operations Research)
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