An Asymptotic Analysis of Nearly Unstable INAR (1) Models
CentER Discussion Paper No. 2006-44
34 Pages Posted: 1 Jun 2006
Date Written: April 2006
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.
Keywords: integer-valued times series, Poisson limit experiment, local-to-unity asymptotics
JEL Classification: C12, C13, C19
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