Estimation in integer-valued moving average models
2001 (English)In: Applied Stochastic Models in Business and Industry, ISSN 1524-1904, E-ISSN 1526-4025, Vol. 17, no 3, 277-291 p.Article in journal (Refereed) Published
The paper presents new characterizations of the integer-valued moving average model. For four model variants, we give moments and probability generating functions. Yule-Walker and conditional least-squares estimators are obtained and studied by Monte Carlo simulation. A new generalized method of moment estimator based on probability generating functions is presented and shown to be consistent and asymptotically normal. The small sample performance is in some instances better than those of alternative estimators.
Place, publisher, year, edition, pages
2001. Vol. 17, no 3, 277-291 p.
GMM, Least squares, Model characterization, Monte Carlo, Probability generating function, Yule-Walker
Research subject Econometrics
IdentifiersURN: urn:nbn:se:umu:diva-64761DOI: 10.1002/asmb.445OAI: oai:DiVA.org:umu-64761DiVA: diva2:602696