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Estimation in integ...
Estimation in integer-valued moving average models
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- Brännäs, Kurt (author)
- Umeå universitet,Nationalekonomi
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Hall, Andreia (author)
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(creator_code:org_t)
- 2001-08-16
- 2001
- English.
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In: Applied Stochastic Models in Business and Industry. - : Wiley. - 1524-1904 .- 1526-4025. ; 17:3, s. 277-291
- Related links:
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https://urn.kb.se/re...
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https://doi.org/10.1...
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Abstract
Subject headings
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- 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)
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