Unit root testing in integer-valued AR(1) models

DOI10.1016/S0165-1765(00)00344-XMaRDI QIDQ1589595zbMATH OpenOpenAlexFDO

Authors R. Smith

Publication date 12 December 2000

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0165-1765(00)00344-x

zbMATH Keywords

count dataPoisson errorsrandom walk with drifttime series

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82) Economic time series analysis (91B84)

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Cites work

• A note on the distribution of the least squares estimator of a random walk with drift: Some analytical evidence
• Asymptotic Normality, When Regressors Have a Unit Root
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• FIRST-ORDER INTEGER-VALUED AUTOREGRESSIVE (INAR(1)) PROCESS
• GENERALIZED INTEGER-VALUED AUTOREGRESSION
• scientific article; zbMATH DE number 3550005 (Why is no real title available?)
• Integer-valued moving average (INMA) process
• Some ARMA models for dependent sequences of poisson counts
• Testing For Unit Roots: 1
• Testing the autoregressive parameter with the t statistic
• Very small samples and additional non-sample information in forecasting

Cited in

(12)

• Thinning operations for modeling time series of counts -- a survey
• A strategy for testing the unit root in AR(1) model with intercept: a Monte Carlo experiment
• scientific article; zbMATH DE number 6101298 (Why is no real title available?)
• Nonstationary INAR(1) process with qth-order autocorrelation innovation
• First order non-negative integer valued autoregressive processes with power series innovations
• Extended Poisson INAR(1) processes with equidispersion, underdispersion and overdispersion
• Improved estimation for Poisson INAR(1) models
• Asymptotic behavior of unstable INAR(\(p\)) processes
• The effects of additive outliers in INAR(1) process and robust estimation
• The asymptotic structure of nearly unstable non-negative integer-valued AR(1) models
• Nearly unstable integer‐valued ARCH process and unit root testing
• Unified inference for an integer-valued AR(1) model

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