A new class of Z-valued INAR(1) models with application to mutual fund flows

Yao Kang, Yuqing Zhang, Shuhui Wang and Zhiwen Zhao

Economics Letters, 2025, vol. 252, issue C

Abstract: Z-valued time series, which have discrete and quantitative observations on the set Z={...,−2,−1,0,1,2,…}, are commonly observed in economics and finance. Z-valued versions of integer-valued autoregressive (INAR) models are frequently employed to fit Z-valued time series. However, the existing Z-valued INAR models encounter difficulties in data generation mechanism and statistical inference. To enhance the modeling and prediction of Z-valued time series, this article constructs a class of Z-valued INAR(1) models from a new perspective and studies the related statistical inference problem. Empirically, an application to mutual fund flows demonstrates that our model offers satisfactory performance in economics and finance.

Keywords: INAR(1) model; Mutual funds; Parameter estimation; ℤ-valued time series (search for similar items in EconPapers)
JEL-codes: C13 C22 C5 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:252:y:2025:i:c:s0165176525001764

DOI: 10.1016/j.econlet.2025.112339

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