Local Asymptotic Normality and Efficient Estimation for INAR(p) Models

19 Pages Posted: 15 Aug 2008

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)

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Date Written: 0000

Abstract

Integer-valued autoregressive (INAR) processes have been introduced to model non-negative integer-valued phenomena that evolve in time. The distribution of an INAR(p) process is determined by two parameters: a vector of survival probabilities and a probability distribution on the non-negative integers, called an immigration distribution. This paper provides an efficient estimator of the parameters, and in particular, shows that the INAR(p) model has the Local Asymptotic Normality property.

Suggested Citation

Drost, Feike C. and Van den Akker, Ramon and Werker, Bas J.M., Local Asymptotic Normality and Efficient Estimation for INAR(p) Models (0000). Journal of Time Series Analysis, Vol. 29, Issue 5, pp. 783-801, September 2008, Available at SSRN: https://ssrn.com/abstract=1227213 or http://dx.doi.org/10.1111/j.1467-9892.2008.00581.x

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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