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An Asymptotic Analysis of Nearly Unstable inar (1) Models

Author

Listed:
  • Drost, F.C.

    (Tilburg University, Center For Economic Research)

  • van den Akker, R.

    (Tilburg University, Center For Economic Research)

  • Werker, B.J.M.

    (Tilburg University, Center For Economic Research)

Abstract

This paper considers integer-valued autoregressive processes where the autoregression parameter is close to unity.We consider the asymptotics of this `near unit root' situation.The local asymptotic structure of the likelihood ratios of the model is obtained, showing that the limit experiment is Poissonian.This Poisson limit experiment is used to construct efficient estimators and tests.

Suggested Citation

  • Drost, F.C. & van den Akker, R. & Werker, B.J.M., 2006. "An Asymptotic Analysis of Nearly Unstable inar (1) Models," Discussion Paper 2006-44, Tilburg University, Center for Economic Research.
  • Handle: RePEc:tiu:tiucen:6e89d2b0-1d07-4f01-9b2f-57afcdee4528
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    File URL: https://pure.uvt.nl/ws/portalfiles/portal/778345/44.pdf
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    References listed on IDEAS

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    1. Feike C. Drost & Ramon Van Den Akker & Bas J. M. Werker, 2008. "Local asymptotic normality and efficient estimation for INAR(p) models," Journal of Time Series Analysis, Wiley Blackwell, vol. 29(5), pages 783-801, September.
    2. Hellstrom, Jorgen, 2001. "Unit root testing in integer-valued AR(1) models," Economics Letters, Elsevier, vol. 70(1), pages 9-14, January.
    3. Jeganathan, P., 1995. "Some Aspects of Asymptotic Theory with Applications to Time Series Models," Econometric Theory, Cambridge University Press, vol. 11(5), pages 818-887, October.
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    Cited by:

    1. Feike C. Drost & Ramon Van Den Akker & Bas J. M. Werker, 2008. "Local asymptotic normality and efficient estimation for INAR(p) models," Journal of Time Series Analysis, Wiley Blackwell, vol. 29(5), pages 783-801, September.

    More about this item

    Keywords

    integer-valued times series; Poisson limit experiment; local-to-unity asymptotics;

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C19 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Other

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