GENERALIZED INTEGER-VALUED AUTOREGRESSION

By Kurt Brännäs, Jörgen Hellström. 2001

90 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/09f2d2eea7ffad2e57020a3cd342aed8aa1fd8a3

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Citations in the corpus

A geometric time series model with dependent Bernoulli counting series (2013, background): “Some generalizations concerning relaxing the assumption of independence can be found in Brännäs and Hellström (2001).”
Bayesian predictions of low count time series (2005, methodology): “1 The p-Step Ahead Conditional Predictive Pmf Construction of the estimated p-step ahead model-averaged predictive pmf in (9) requires evaluation of the conditional pmf, P (YT+p = yT+p|y,Mk,θk), in the integrand in (6).”
Inference for pth‐order random coefficient integer‐valued autoregressive processes (2006, methodology): “The thinning models have been studied by Alzaid and Al-Osh (1990), Du and Li (1991), Latour (1998) and Brannas and Hellstrom (2001), among others.”
Does knowledge spill to leaders or laggards? Exploring industry heterogeneity in learning by exporting (2008, background): “Al-Osh and Alzaid (1987) and Brännäs and Hellström (2001) argue that the traditional AR(1) model can be extended to the integer-valued autoregressive (INAR(1)) model applied to count data.”
Asymptotic behavior of unstable INAR(p) processes (2009, methodology): “Hellström [25] focused on the testing of unit root in INAR(1) models and provided small sample distributions for the Dickey-Fuller test statistic under the null hypothesis of unit root in an INAR(1) model with Poisson distributed innovations.”
Binomial thinning models for integer time series (2006, background): “…elsewhere, for example, Jung and Tremayne (2003, 2006) and Jung et al. (2005) for detailed references and also the articles by Brännäs and co-authors, including Brännäs and Hellström (2001) for a general article and Brännäs and Hall (2001), who are concerned with moving average specifications.”
Efficient Estimation of Autoregression Parameters and Innovation Distributions forSemiparametric Integer-Valued AR(p) Models (Revision of DP 2007-23) (2008, unknown): “Du and Li (1991) and Freeland and McCabe (2005) derived the limit-distribution of the OLS-estimator of θ. Brännäs and Hellström (2001) considered GMM estimation, Silva and Oliveira (2005) proposed a frequency domain based estimator of θ, Silva and Silva (2006) considered a Yule-Walker estimator,…”
Integer-valued moving average modelling of the number of transactions in stocks (2010, unknown): “2t ¼ exp 0 þ 1 ln 2t 1 þ þ P ln 2t P þ 1ðut 1 Þ2 þ þ Qðut Q Þ2 þ xt ð6Þ There could also be additional contributions, or at least different ones, to the conditional variance if, e.g. the different thinning operations were dependent (cf. Brännäs and Hall, 2001; Brännäs and Hellström, 2001).”