Forecasting integer autoregressive processes of order 1: are simple AR competitive?

Luisa Bisaglia () and Margherita Gerolimetto ()
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Luisa Bisaglia: Department of Statistical Sciences - Padova University

Economics Bulletin, 2015, vol. 35, issue 3, 1652-1660

Abstract: In this work we want to clarify, via a Monte Carlo experiment, if (and when) for an integer-valued time series it is really recommended to adopt the coherent forecasting methods from INAR models or if equivalently good predictions can be obtained from the simpler AR models. Results show that INAR models should be preferred.

Keywords: Integer Autoregressive models; Forecasting (search for similar items in EconPapers)
JEL-codes: C1 (search for similar items in EconPapers)
Date: 2015-07-24
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Citations: View citations in EconPapers (1)

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