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Estimation in integ...
Estimation in integer-valued moving average models
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- Brännäs, Kurt (författare)
- Umeå universitet,Nationalekonomi
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Hall, Andreia (författare)
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(creator_code:org_t)
- 2001-08-16
- 2001
- Engelska.
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Ingår i: Applied Stochastic Models in Business and Industry. - : Wiley. - 1524-1904 .- 1526-4025. ; 17:3, s. 277-291
- Relaterad länk:
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https://urn.kb.se/re...
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visa fler...
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https://doi.org/10.1...
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Abstract
Ämnesord
Stäng
- 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.
Ämnesord
- SAMHÄLLSVETENSKAP -- Ekonomi och näringsliv -- Nationalekonomi (hsv//swe)
- SOCIAL SCIENCES -- Economics and Business -- Economics (hsv//eng)
Nyckelord
- GMM
- Least squares
- Model characterization
- Monte Carlo
- Probability generating function
- Yule-Walker
- Econometrics
- Ekonometri
- Econometrics
- ekonometri
Publikations- och innehållstyp
- ref (ämneskategori)
- art (ämneskategori)
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