Scandinavian Working Papers in Economics
Umeå Economic Studies,
Umeå University, Department of Economics
No 477: Estimation in integer - valued moving average models
Kurt Brännäs () and Andreia Hall
Additional contact information
Kurt Brännäs: Department of Economics, Umeå University, Postal: S 901 87 Umeå, Sweden
Andreia Hall: Department of Mathematics, University of Aveiro, Postal: Portugal
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
17 pages, October 4, 1998
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