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Estimation and testing for a Poisson autoregressive model

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Abstract

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.

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Authors and Affiliations

  1. School of Mathematics, Jilin University, 130012, Changchun, Jilin, China

    Fukang Zhu & Dehui Wang

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  1. Fukang Zhu
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  2. Dehui Wang
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Correspondence to Fukang Zhu.

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Zhu, F., Wang, D. Estimation and testing for a Poisson autoregressive model. Metrika 73, 211–230 (2011). https://doi.org/10.1007/s00184-009-0274-z

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  • DOI: https://doi.org/10.1007/s00184-009-0274-z

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