Estimation in integer-valued moving average models

• 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.

Subject headings

SAMHÄLLSVETENSKAP  -- Ekonomi och näringsliv -- Nationalekonomi (hsv//swe)

SOCIAL SCIENCES  -- Economics and Business -- Economics (hsv//eng)

Keyword

GMM

Least squares

Model characterization

Monte Carlo

Probability generating function

Yule-Walker

Econometrics

Ekonometri

Econometrics

ekonometri

Publication and Content Type

ref (subject category)

art (subject category)