Scandinavian Working Papers in Economics

Umeå Economic Studies,
Umeå University, Department of Economics

No 501: Generalized Integer-Valued Autoregression

Kurt Brännäs () and Jörgen Hellström ()
Additional contact information
Kurt Brännäs: Department of Economics, Umeå University, Postal: S 901 87 Umeå, Sweden
Jörgen Hellström: Department of Economics, Umeå University, Postal: S 901 87 Umeå, Sweden

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

JEL-codes: C12; C13; C22; C25; C51

21 pages, April 14, 1999

Download statistics

Questions (including download problems) about the papers in this series should be directed to David Skog ()
Report other problems with accessing this service to Sune Karlsson ().

This page generated on 2018-01-23 23:38:34.