, Volume 73, Issue 2, pp 211–230

Estimation and testing for a Poisson autoregressive model


DOI: 10.1007/s00184-009-0274-z

Cite this article as:
Zhu, F. & Wang, D. Metrika (2011) 73: 211. doi:10.1007/s00184-009-0274-z


This article considers statistical inference for a Poisson autoregressive model. A condition for ergodicity and a necessary and sufficient condition for the existence of moments are given. Asymptotics for maximum likelihood estimator and weighted least squares estimators with estimated weights or known weights of the parameters are established. Testing conditional heteroscedasticity and testing the parameters under a simple ordered restriction are noted. A simulation study is also given.


AsymptoticsErgodicityMaximum likelihood estimatorPoisson autoregressive modelTestWeighted least squares estimator

Copyright information

© Springer-Verlag 2009

Authors and Affiliations

  1. 1.School of MathematicsJilin UniversityChangchunChina