The asymptotic structure of nearly unstable non-negative integer-valued AR(1) models

被引：13

作者：

Drost, Feike C. ^{[1
]}

Van Den Akker, Ramon ^{[2
]}

Werker, Bas J. M. ^{[1
]}

机构：

[1] Tilburg Univ, Econometr & Finance Grp, CentER, NL-5000 LE Tilburg, Netherlands

[2] Tilburg Univ, Econometr Grp, CentER, NL-5000 LE Tilburg, Netherlands

来源：

BERNOULLI | 2009年 / 15卷 / 02期

关键词：

branching process with immigration; integer-valued time series; local-to-unity asymptotics; near unit root; Poisson limit experiment; ADAPTIVE ESTIMATION; INFERENCE; EFFICIENCY; ENTRY; QUEUE;

D O I：

10.3150/08-BEJ153

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

This paper considers non-negative integer-valued autoregressive processes where the autoregression parameter is close to unity. We consider the asymptotics of this 'near unit root' situation. The local asymptotic Structure of the likelihood ratios of the model is obtained, showing that the limit experiment is Poissonian. To illustrate the statistical consequences we discuss efficient estimation of the autoregression parameter and efficient testing for a unit root.

引用

页码：297 / 324

页数：28