Estimation in integer‐valued moving average models

Kurt Brännäs () and Andreia Hall

Applied Stochastic Models in Business and Industry, 2001, vol. 17, issue 3, 277-291

Abstract: The paper presents new characterizations of the integer‐valued moving average model. For four model variants, we give moments and probability generating functions. Yule–Walker and conditional least‐squares estimators are obtained and studied by Monte Carlo simulation. A new generalized method of moment estimator based on probability generating functions is presented and shown to be consistent and asymptotically normal. The small sample performance is in some instances better than those of alternative estimators. Copyright © 2001 John Wiley & Sons, Ltd.

Date: 2001
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https://doi.org/10.1002/asmb.445

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Working Paper: Estimation in integer - valued moving average models (1998)
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Persistent link: https://EconPapers.repec.org/RePEc:wly:apsmbi:v:17:y:2001:i:3:p:277-291

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