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An Asymptotic Analysis of Nearly Unstable Inar (1) Models

CentER Discussion Paper No. 2006-44

34 Pages Posted: 1 Jun 2006  

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: April 2006

Abstract

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

Suggested Citation

Drost, Feike C. and Van den Akker, Ramon and Werker, Bas J. M., An Asymptotic Analysis of Nearly Unstable Inar (1) Models (April 2006). CentER Discussion Paper No. 2006-44. Available at SSRN: https://ssrn.com/abstract=905484 or http://dx.doi.org/10.2139/ssrn.905484

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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