We propose a novel estimation approach for a general class of semi-parametric time series models where the conditional expectation is modeled through a parametric function. The proposed class of estimators is based on a Gaussian quasi-likelihood function and it relies on the specification of a...

We propose a novel estimation approach for a general class of semi-parametric time series models where the conditional expectation is modeled through a parametric function. The proposed class of estimators is based on a Gaussian quasi-likelihood function and it relies on the specification of a...

Popular models for time series of count data are integer-valued autoregressive (INAR) models, for which the literature mainly deals with parametric estimation. In this regard, a semiparametric estimation approach is a remarkable exception which allows for estimation of the INAR models without...