Local Asymptotic Normality and Efficient Estimation for Inar(P) Models
CentER Discussion Paper No. 2006-45
29 Pages Posted: 1 Jun 2006
Date Written: April 2006
Integer-valued autoregressive (INAR) processes have been introduced to model nonnegative integervalued 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 nonnegative integers, called an immigration or innovation 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
JEL Classification: C12, C13, C19
Suggested Citation: Suggested Citation