Note on Integer-Valued Bilinear Time Series Models
CentER Discussion Paper Series No. 2007-47
7 Pages Posted: 1 Aug 2007
Date Written: June 2007
Abstract
Summary. This note reconsiders the nonnegative integer-valued bilinear processes introduced by Doukhan, Latour, and Oraichi (2006). Using a hidden Markov argument, we extend their result of the existence of a stationary solution for the INBL(1,0,1,1) process to the class of superdiagonal INBL(p; q; m; n) models. Our approach also yields improved parameter restrictions for several moment conditions compared to the ones in Doukhan, Latour, and Oraichi (2006).
Keywords: count data, integer-valued time series, bilinear model
JEL Classification: C22
Suggested Citation: Suggested Citation
Drost, Feike C. and Van den Akker, Ramon and Werker, Bas J.M., Note on Integer-Valued Bilinear Time Series Models (June 2007). CentER Discussion Paper Series No. 2007-47, Available at SSRN: https://ssrn.com/abstract=1004283 or http://dx.doi.org/10.2139/ssrn.1004283
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