Titre :

Poisson QMLE of Count Time Series Models

Auteur(s) :

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

Titre de la revue :

Journal of Time Series Analysis

Pagination :

291--314

Éditeur :

Wiley-Blackwell

Date de publication :

2015-11

ISSN :

0143-9782

Mot(s)-clé(s) en anglais :

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

Discipline(s) HAL :

Sciences de l'Homme et Société/Economies et finances

Résumé en anglais : [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 ...
Lire la suite >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.Lire moins >

Langue :

Anglais

Vulgarisation :

Non

Collections :

• Lille Économie Management (LEM) - UMR 9221

Source :

Harvested from HAL