Umeå Economic Studies, Department of Economics, Umeå University
No 477:
Estimation in integer - valued moving average models
Kurt Brännäs ()
and Andreia Hall
Abstract: 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. The techniques are illustrated
on a time series of traded stocks.
Keywords: Model characterization; probability generating function; GMM; least squares; Yule-Walker; Monte Carlo; number of traded stocks; (follow links to similar papers)
JEL-Codes: C13; C15; C22; C25; (follow links to similar papers)
17 pages, October 4, 1998
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- This paper is published as:
-
Brännäs, Kurt and Andreia Hall, (2001), 'Estimation in integer - valued moving average models', Applied Stochastic Models in Business and Industry, 17, 277-291, 2001, Vol. 17, pages 277-291
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