Generalized Integer-Valued Autoregression

Kurt Brännäs () and Jörgen Hellström ()
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Jörgen Hellström: Department of Economics, Umeå University, Postal: S 901 87 Umeå, Sweden

No 501, Umeå Economic Studies from Umeå University, Department of Economics

Abstract: The integer-valued AR(1) model is generalized to encompass some of the more likely features of economic time series of count data. The generalizations come at the price of loosing exact distributional properties. For most specifications the first and second order both conditional and unconditional moments can be obtained. Hence estimation, testing and forecasting are feasible and can be based on least squares or GMM techniques. An illustration based on the number of plants within an industrial sector is considered.

Keywords: Characterization; Dependence; Time series model; Estimation; Forecasting; Entry and exit (search for similar items in EconPapers)
JEL-codes: C12 C13 C22 C25 C51 (search for similar items in EconPapers)
Pages: 21 pages
Date: 1999-04-14
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (3)

Published in Econometric Reviews, 2001, pages 425-443.

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Journal Article: GENERALIZED INTEGER-VALUED AUTOREGRESSION (2001)
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Persistent link: https://EconPapers.repec.org/RePEc:hhs:umnees:0501

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