Poisson qmle of count time series models

Ahmad, Ali and Francq, Christian (2014): Poisson qmle of count time series models.

Abstract

Regularity conditions are given for the consistency of the Poisson quasi-maximum likelihood estimator of the conditional mean parameter of a count time series. 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 INAR and INGARCH models are considered. Numerical illustrations, on Monte Carlo simulations and real data series, are provided.

• Item Type: MPRA Paper
• Language: English
• Keywords: 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.
• Subjects: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C12 - Hypothesis Testing: General; C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C13 - Estimation: General; C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes

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