Inference for pth‐order random coefficient integer‐valued autoregressive processes

Haitao Zheng, Ishwar V. Basawa and Somnath Datta

Journal of Time Series Analysis, 2006, vol. 27, issue 3, 411-440

Abstract: Abstract. A pth‐order random coefficient integer‐valued autoregressive [RCINAR(p)] model is proposed for count data. Stationarity and ergodicity properties are established. Maximum likelihood, conditional least squares, modified quasi‐likelihood and generalized method of moments are used to estimate the model parameters. Asymptotic properties of the estimators are derived. Simulation results on the comparison of the estimators are reported. The models are applied to two real data sets.

Date: 2006
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Citations: View citations in EconPapers (18)

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https://doi.org/10.1111/j.1467-9892.2006.00472.x

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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:27:y:2006:i:3:p:411-440

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