Asymptotic Behavior of Conditional Least Squares Estimators for Unstable Integer-valued Autoregressive Models of Order 2

Mátyás Barczy, Márton Ispány and Gyula Pap

Scandinavian Journal of Statistics, 2014, vol. 41, issue 4, 866-892

Abstract: type="main" xml:id="sjos12069-abs-0001">

In this paper, the asymptotic behavior of the conditional least squares estimators of the autoregressive parameters, of the mean of the innovations, and of the stability parameter for unstable integer-valued autoregressive processes of order 2 is described. The limit distributions and the scaling factors are different according to the following three cases: (i) decomposable, (ii) indecomposable but not positively regular, and (iii) positively regular models.

Date: 2014
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