Note on Integer-Valued Bilinear Time Series Models
CentER Discussion Paper Series No. 2007-47
7 Pages Posted: 1 Aug 2007
Date Written: June 2007
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: Suggested Citation