Inference for pth-order random coefficient integer-valued autoregressive processes

A pth-order random coefficient integer-valued autoregressive [RCINAR(p)] model is proposed for count data. Stationarity and ergodicity properties are established. Maximum likelihood, conditional least squares, modified quasi-likelihood and generalized method of moments are used to estimate the model parameters. Asymptotic properties of the estimators are derived. Simulation results on the comparison of the estimators are reported. The models are applied to two real data sets. Copyright 2006 The Authors Journal compilation 2006 Blackwell Publishing Ltd.