Local Asymptotic Normality and Efficient Estimation for Inar(P) Models

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

doi:10.1111/j.1467-9892.2008.00581.x

Local Asymptotic Normality and Efficient Estimation for Inar(P) Models

Journal of Time Series Analysis, Vol. 29, Issue 5, pp. 783-801, 2008

19 Pages Posted: 18 Jan 2014

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)

There are 3 versions of this paper

Date Written: September 2008

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.

Keywords: Count data, integer‐valued time series, information loss structure

Suggested Citation: 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 (September 2008). Journal of Time Series Analysis, Vol. 29, Issue 5, pp. 783-801, 2008, Available at SSRN: https://ssrn.com/abstract=2381043 or http://dx.doi.org/10.1111/j.1467-9892.2008.00581.x