Two-step conditional least squares estimation in ADCINAR(1) process, revisited

Xiaoqiang Zeng and Yoshihide Kakizawa

Statistics & Probability Letters, 2024, vol. 206, issue C

Abstract: Asymptotic normality of two-step conditional least squares estimator is revisited for the stationary ADCINAR(1) process. It turns out that plugging a consistent estimator for the parameter α affects the resulting asymptotic variance, whereas plugging the sample mean and variance has no effect. The phenomenon cannot be grasped from two examples discussed in Karlsen and Tjøstheim (1988).

Keywords: Two-step conditional least squares estimation; Count time series; ADCINAR(1) process (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1016/j.spl.2023.110003

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