Bias corrections for moment estimators in Poisson INAR(1) and INARCH(1) processes

Christian H. Weiß and Sebastian Schweer

Statistics & Probability Letters, 2016, vol. 112, issue C, 124-130

Abstract: For Poisson INAR(1) or INARCH(1) count data time series, explicit asymptotic approximations for bias and standard deviation of common moment estimators are derived. Their finite-sample performance is shown by simulations. Bias corrected estimators are applied within examples.

Keywords: Count-data time series; Poisson INAR(1) model; Poisson INARCH(1) model; Asymptotic properties; Moment estimators; Bias corrections (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:112:y:2016:i:c:p:124-130

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DOI: 10.1016/j.spl.2016.01.018

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