A new method of testing for a unit root in the INAR(1) model based on variances

DOI10.1080/03610918.2020.1788584MaRDI QIDQ5042176zbMATH OpenOpenAlexFDO

Authors Daimin Shi, Fuming Lin

Publication date 18 October 2022

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918.2020.1788584

zbMATH Keywords

discrete-valued time seriesinteger-valued autoregression modelnon-stationary time seriestesting based on variancesunit root test

Mathematics Subject Classification ID

Branching processes (Galton-Watson, birth-and-death, etc.) (60J80) Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites work

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• An integer-valued pth-order autoregressive structure (INAR(p)) process
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• Binomial thinning models for integer time series
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• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Efficient estimation of auto-regression parameters and innovation distributions for semiparametric integer-valued \(AR(p)\) models
• Extended Poisson INAR(1) processes with equidispersion, underdispersion and overdispersion
• First order non-negative integer valued autoregressive processes with power series innovations
• FIRST-ORDER INTEGER-VALUED AUTOREGRESSIVE (INAR(1)) PROCESS
• First-order random coefficient integer-valued autoregressive processes
• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• Inference for pth-order random coefficient integer-valued autoregressive processes
• Maximum likelihood estimation of higher-order integer-valued autoregressive processes
• Serial dependence and regression of Poisson INARMA models
• Some ARMA models for dependent sequences of poisson counts
• Testing For Unit Roots: 1
• THE INTEGER-VALUED AUTOREGRESSIVE (INAR(p)) MODEL

Cited in

(1)

• A strategy for testing the unit root in AR(1) model with intercept: a Monte Carlo experiment

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