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

CentER Discussion Paper No. 2006-45

29 Pages Posted: 1 Jun 2006

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)

Multiple version iconThere are 3 versions of this paper

Date Written: April 2006

Abstract

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

Drost, Feike C. and Van den Akker, Ramon and Werker, Bas J.M., Local Asymptotic Normality and Efficient Estimation for Inar(P) Models (April 2006). CentER Discussion Paper No. 2006-45, Available at SSRN: https://ssrn.com/abstract=905487 or http://dx.doi.org/10.2139/ssrn.905487

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

Here is the Coronavirus
related research on SSRN

Paper statistics

Downloads
83
Abstract Views
973
rank
324,390
PlumX Metrics