Estimation in integer - valued moving average models

Kurt Brännäs () and Andreia Hall
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Andreia Hall: Department of Mathematics, University of Aveiro, Postal: Portugal

No 477, Umeå Economic Studies from Umeå University, Department of Economics

Abstract: The paper presents new characterizations of the integer-valued moving average model. For four model variants we give moments and probability generating functions. Yule-Walker and conditional least squares estimators are obtained and studied by Monte Carlo simulation. A new generalized method of moment estimator based on probability generating functions is presented and shown to be consistent and asymptotically normal.The small sample performance is in some instances better than those of alternative estimators. The techniques are illustrated on a time series of traded stocks.

Keywords: Model characterization; probability generating function; GMM; least squares; Yule-Walker; Monte Carlo; number of traded stocks (search for similar items in EconPapers)
JEL-codes: C13 C15 C22 C25 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm and nep-ets
Date: 1998-10-04
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Published in Applied Stochastic Models in Business and Industry, 17, 277-291, 2001, 2001, pages 277-291.

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Persistent link: http://EconPapers.repec.org/RePEc:hhs:umnees:0477

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