Integer-valued models miming classical econometric models

Alain Latour (1) , Lionel Truquet (2)

1 SMS - Statistique et Modélisation Stochatisque
2 CREST - Centre de Recherche en Économie et Statistique

Econometric time series model can be defined to describe integer-valued observations. We present an integer-valued GARCH type model and two bilinear type models. The latter one, which can be useful in a context of inventory management or epidemiology, is based on a thinning operator allowing for negative values. We establish the existence of such a processes. The estimation of the parameters is tackled with the help of different methods: conditional likelihood and quasi-maximum likelihood. We give some asymptotic results for these estimators. Numerical examples and applications from social medicine are presented.

Domaines: Statistiques [math.ST]; Théorie [stat.TH]

Alain Latour, Lionel Truquet. Integer-valued models miming classical econometric models. CFE'08 - 2nd International workshop on Computational and Financial Econometrics, Jun 2008, Neuchâtel, Switzerland. ⟨hal-00319803⟩