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

Drost,F.C.
; 
van den Akker,R.
; 
Werker,B.J.M.
Abstract
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.
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Appeared earlier as CentER DP 2006-44 (revised title)
Date
2009
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Tilburg University Research Output Collection
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Drost, F C, van den Akker, R & Werker, B J M 2009, 'The asymptotic structure of nearly unstable non negative integer-valued AR(1) models', Bernoulli, vol. 15, no. 2, pp. 297-324.
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https://hdl.handle.net/20.500.14602/49108
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