Title :

Poisson QMLE of Count Time Series Models

Author(s) :

Ahmad, Ali [Auteur]
Lille économie management - UMR 9221 [LEM]
Francq, Christian [Auteur]
Laboratoire de Finance Assurance [LFA]

Journal title :

Journal of Time Series Analysis

Pages :

291--314

Publisher :

Wiley-Blackwell

Publication date :

2015-11

ISSN :

0143-9782

English keyword(s) :

Boundary of the parameter space
consistency and asymptotic normality
integer-valued AR and GARCH models
non-normal asymptotic distribution
Poisson quasi-maximum likelihood estimator
time series of counts

HAL domain(s) :

Sciences de l'Homme et Société/Economies et finances

English abstract : [en]

Regularity conditions are given for the consistency of the Poisson quasi-maximum likelihood estimator of the conditional mean parameter of a count time series model. The asymptotic distribution of the estimator is studied ...
Show more >Regularity conditions are given for the consistency of the Poisson quasi-maximum likelihood estimator of the conditional mean parameter of a count time series model. The asymptotic distribution of the estimator is studied when the parameter belongs to the interior of the parameter space and when it lies at the boundary. Tests for the significance of the parameters and for constant conditional mean are deduced. Applications to specific integer-valued autoregressive (INAR) and integer-valued generalized autoregressive conditional heteroscedasticity (INGARCH) models are considered. Numerical illustrations, Monte Carlo simulations and real data series are provided.Show less >

Language :

Anglais

Peer reviewed article :

Oui

Audience :

Internationale

Popular science :

Non

Collections :

• Lille Économie Management (LEM) - UMR 9221

Source :

Harvested from HAL