Similar Search Results

Efficient estimation of autoregression parameters and innovation distributions for semiparametric integer-valued AR(p) models

Drost, Feike C. (contributor); … - 2007

Persistent link: https://www.econbiz.de/10003483609

Efficient estimation of autoregression parameters and innovation distributions for semiparametric integer-valued AR(p) models

Drost, Feike C. (contributor); … - 2008 - Rev. version of CentER Discussion Paper 2007-23

Persistent link: https://www.econbiz.de/10003752414

Residual-based rank specification tests for AR-GARCH type models

Andreou, Elena; Werker, Bas J. M. - In: Journal of econometrics 185 (2015) 2, pp. 305-331

Persistent link: https://www.econbiz.de/10011348447

Efficient Estimation of Autoregression Parameters and Innovation Distributions for Semiparametric Integer-Valued AR(p) Models

Drost, Feike C.; Van den Akker, Ramon; Werker, Bas J. M. - 2008

Integer-valued autoregressive (INAR) processes have been introduced to model nonnegative integer-valued phenomena that evolve over time. The distribution of an INAR(p) process is essentially described by two parameters: a vector of autoregression coefficients and a probability distribution on...

Persistent link: https://www.econbiz.de/10014050438

Efficient Estimation of Autoregression Parameters and Innovation Distributions for Semiparametric Integer-Valued Ar(P) Models

Drost, Feike C.; Van den Akker, Ramon; Werker, Bas J. M. - 2013

Persistent link: https://www.econbiz.de/10014217553

Distribution-free bounds for serial correlation coefficients in heteroskedastic symmetric time series

Dufour, Jean-Marie (contributor); … - 2004

Persistent link: https://www.econbiz.de/10002652755

Distribution-free bounds for serial correlation coefficients in heteroskedastic symmetric time series

Dufour, Jean-Marie; Farhat, Abdeljelil; Hallin, Marc - In: Journal of econometrics 130 (2006) 1, pp. 123-142

Persistent link: https://www.econbiz.de/10003228631