A Flexible Observation-Driven Stationary Bivariate Negative Binomial INAR(1) with Non-homogeneous Levels of Over-dispersion

Mamode Khan Naushad (), Sunecher Yuvraj () and Jowaheer Vandna ()
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Mamode Khan Naushad: Department of Economics and Statistics, University of Mauritius, Reduit, Mauritius
Sunecher Yuvraj: Department of Economics and Statistics, University of Mauritius, Reduit, Mauritius
Jowaheer Vandna: Department of Economics and Statistics, University of Mauritius, Reduit, Mauritius

Journal of Time Series Econometrics, 2018, vol. 10, issue 2, 8

Abstract: The existing bivariate integer-valued autoregressive process of order 1 (BINAR(1)) with negative binomial (NB) innovations is developed under stationary moment conditions and in particular under same level of over-dispersion index. In this paper, we propose a flexible BINAR(1) under NB innovations where the counting series are subject to two different levels of over-dispersion under same stationary moment condition. The unknown parameters of the new model are estimated using a generalized quasi-likelihood (QL) estimating equation. The performance of this estimation method is assessed through some numerical experiments under different time dimensions.

Keywords: bivariate; time series; stationary; negative binomial (search for similar items in EconPapers)
Date: 2018
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DOI: 10.1515/jtse-2016-0028

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