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An Asymptotic Analysis of Nearly Unstable Inar (1) ModelsFeike C. DrostTilburg University - Center for Economic Research (CentER) Ramon Van den AkkerTilburg University - CentER and department of Econometrics & OR Bas J. M. WerkerTilburg University - Center for Economic Research (CentER) April 2006 CentER Discussion Paper No. 2006-44 Abstract: 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.
Number of Pages in PDF File: 34 Keywords: integer-valued times series, Poisson limit experiment, local-to-unity asymptotics JEL Classification: C12, C13, C19 working papers seriesDate posted: June 1, 2006Suggested CitationContact Information
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