An Asymptotic Analysis of Nearly Unstable inar (1) Models

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.

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Year of publication:	2006
Authors:	Drost, Feike C. ; Werker, Bas J.M. ; van den Akker, R.
Institutions:	Tilburg University, Center for Economic Research
Subject:	integer-valued times series \| Poisson limit experiment \| local-to-unity asymptotics

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Extent:	application/pdf
Series:	Discussion Paper.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series CentER Discussion Paper Number 2006-44
Classification:	C12 - Hypothesis Testing ; C13 - Estimation ; C19 - Econometric and Statistical Methods: General. Other
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011090619