A multiplicative thinning-based integer-valued GARCH model

Aknouche, Abdelhakim and Scotto, Manuel (2022): A multiplicative thinning-based integer-valued GARCH model.

Abstract

In this paper we introduce a multiplicative integer-valued time series model, which is defined as the product of a unit-mean integer-valued independent and identically distributed (iid) sequence, and an integer-valued dependent process. The latter is defined as a binomial thinning operation of its own past and of the past of the observed process. Furthermore, it combines some features of the integer-valued GARCH (INGARCH), the autoregressive conditional duration (ACD), and the integer autoregression (INAR) processes. The proposed model is semi-parametric and is able to parsimoniously generate very high overdispersion, persistence, and heavy-tailedness. The dynamic probabilistic structure of the model is first analyzed. In addition, parameter estimation is considered by using a two-stage weighted least squares estimate (2SWLSE), consistency and asymptotic normality (CAN) of which are established under mild conditions. Applications of the proposed formulation to simulated and actual count time series data are provided.

• Item Type: MPRA Paper
• Language: English
• Keywords: Integer-valued time series, INAR model, INGARCH model, multiplicative error model (MEM), ACD model, two-stage weighted least squares.
• Subjects: C - Mathematical and Quantitative Methods > C0 - General > C01 - Econometrics; 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; C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C25 - Discrete Regression and Qualitative Choice Models ; Discrete Regressors ; Proportions ; Probabilities

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