Note on Integer-Valued Bilinear Time Series Models

CentER Discussion Paper Series No. 2007-47

7 Pages Posted: 1 Aug 2007

See all articles by Feike C. Drost

Feike C. Drost

Tilburg University - Center for Economic Research (CentER)

Ramon Van den Akker

Tilburg University - CentER and department of Econometrics & OR

Bas J. M. Werker

Tilburg University - Center for Economic Research (CentER)

Date Written: June 2007

Abstract

Summary. This note reconsiders the nonnegative integer-valued bilinear processes introduced by Doukhan, Latour, and Oraichi (2006). Using a hidden Markov argument, we extend their result of the existence of a stationary solution for the INBL(1,0,1,1) process to the class of superdiagonal INBL(p; q; m; n) models. Our approach also yields improved parameter restrictions for several moment conditions compared to the ones in Doukhan, Latour, and Oraichi (2006).

Keywords: count data, integer-valued time series, bilinear model

JEL Classification: C22

Suggested Citation

Drost, Feike C. and Van den Akker, Ramon and Werker, Bas J.M., Note on Integer-Valued Bilinear Time Series Models (June 2007). CentER Discussion Paper Series No. 2007-47, Available at SSRN: https://ssrn.com/abstract=1004283 or http://dx.doi.org/10.2139/ssrn.1004283

Feike C. Drost (Contact Author)

Tilburg University - Center for Economic Research (CentER) ( email )

Econometrics and Finance Group
P.O. Box 90153
5000 LE Tilburg
Netherlands
+31 13 466 3038 (Phone)

Ramon Van den Akker

Tilburg University - CentER and department of Econometrics & OR ( email )

K-623
PO Box 90153
Tilburg, 5000 LE
Netherlands

HOME PAGE: http://sites.google.com/site/rvdnakker/

Bas J.M. Werker

Tilburg University - Center for Economic Research (CentER) ( email )

Econometrics and Finance Group
5000 LE Tilburg
Netherlands

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