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Efficient Estimation of Autoregression Parameters and Innovation Distributions forSemiparametric Integer-Valued AR(p) Models (Revision of DP 2007-23)

Author

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  • Drost, F.C.

    (Tilburg University, School of Economics and Management)

  • van den Akker, R.

    (Tilburg University, School of Economics and Management)

  • Werker, B.J.M.

    (Tilburg University, School of Economics and Management)

Abstract

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Suggested Citation

  • Drost, F.C. & van den Akker, R. & Werker, B.J.M., 2008. "Efficient Estimation of Autoregression Parameters and Innovation Distributions forSemiparametric Integer-Valued AR(p) Models (Revision of DP 2007-23)," Other publications TiSEM cef533d0-6b49-4ce9-8cd2-7, Tilburg University, School of Economics and Management.
    • Handle: RePEc:tiu:tiutis:cef533d0-6b49-4ce9-8cd2-7a20a43d2dfb
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    References listed on IDEAS

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    1. Kurt Brannas & Jorgen Hellstrom, 2001. "Generalized Integer-Valued Autoregression," Econometric Reviews, Taylor & Francis Journals, vol. 20(4), pages 425-443.
    2. A. Alzaid & M. Al‐Osh, 1988. "First‐Order Integer‐Valued Autoregressive (INAR (1)) Process: Distributional and Regression Properties," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 42(1), pages 53-61, March.
    3. Elisabet Berglund & Kurt Brännäs, 2001. "Plants' entry and exit in Swedish municipalities," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 35(3), pages 431-448.
    4. M. A. Al‐Osh & A. A. Alzaid, 1987. "First‐Order Integer‐Valued Autoregressive (Inar(1)) Process," Journal of Time Series Analysis, Wiley Blackwell, vol. 8(3), pages 261-275, May.
    5. Ulf Böckenholt, 1999. "An INAR(1) negative multinomial regression model for longitudinal count data," Psychometrika, Springer;The Psychometric Society, vol. 64(1), pages 53-67, March.
    6. Ulf Böckenholt, 2003. "Analysing state dependences in emotional experiences by dynamic count data models," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 52(2), pages 213-226, May.
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    2. Jentsch, Carsten & Leucht, Anne, 2014. "Bootstrapping Sample Quantiles of Discrete Data," Working Papers 14-15, University of Mannheim, Department of Economics.
    3. 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.
    4. Jentsch, Carsten & Weiß, Christian, 2017. "Bootstrapping INAR models," Working Papers 17-02, University of Mannheim, Department of Economics.
    5. Germán Aneiros, 2012. "Comments on: Some recent theory for autoregressive count time series," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 21(3), pages 439-441, September.

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