Asymptotic behavior of CLS estimators for unstable INAR(2) models

Barczy, Mátyás and Ispány, Márton and Pap, Gyula (2014) Asymptotic behavior of CLS estimators for unstable INAR(2) models. SCANDINAVIAN JOURNAL OF STATISTICS, 41 (4). pp. 866-892. ISSN 0303-6898

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Abstract

In this paper the asymptotic behavior of the conditional least squares estimators of the autoregressive parameters and of the stability parameter for unstable INteger-valued AutoRegressive (INAR(2)) processes is described. The limit distributions and the scaling factors are different according to the following three cases: (i) decomposable, (ii) indecomposable but not positively regular, and (iii) positively regular models.

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