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Estimation in integer-valued moving average models
Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Economics.
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
Abstract [en]

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.
Keyword [en]
GMM, Least squares, Model characterization, Monte Carlo, Probability generating function, Yule-Walker
National Category
Economics
Research subject
Econometrics
Identifiers
URN: urn:nbn:se:umu:diva-64761DOI: 10.1002/asmb.445OAI: oai:DiVA.org:umu-64761DiVA: diva2:602696
Available from: 2013-02-02 Created: 2013-02-02 Last updated: 2017-12-06Bibliographically approved

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Brännäs, Kurt

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