Munich Personal RePEc Archive

Poisson qmle of count time series models

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

[thumbnail of MPRA_paper_59804.pdf]

Download (577kB) | Preview


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.

Atom RSS 1.0 RSS 2.0

Contact us: mpra@ub.uni-muenchen.de

This repository has been built using EPrints software.

MPRA is a RePEc service hosted by Logo of the University Library LMU Munich.