Scandinavian Working Papers in Economics
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Department of Economics, Umeå University Umeå Economic Studies, Department of Economics, Umeå University

No 501:
Generalized Integer-Valued Autoregression

Kurt Brännäs () and Jörgen Hellström ()

Abstract: The integer-valued AR(1) model is generalized to encompass some of the more likely features of economic time series of count data. The generalizations come at the price of loosing exact distributional properties. For most specifications the first and second order both conditional and unconditional moments can be obtained. Hence estimation, testing and forecasting are feasible and can be based on least squares or GMM techniques. An illustration based on the number of plants within an industrial sector is considered.

Keywords: Characterization; Dependence; Time series model; Estimation; Forecasting; Entry and exit; (follow links to similar papers)

JEL-Codes: C12; C13; C22; C25; C51; (follow links to similar papers)

21 pages, April 14, 1999

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This paper is published as:
Brännäs, Kurt and Jörgen Hellström, (2001), 'Generalized Integer-Valued Autoregression', Econometric Reviews, Vol. Vol 20, No. 4, pages 425-443

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