This paper focuses on a family of observation-driven models for autoregressive discrete-valued data, called INAR models. The main purpose of the project is to write and document a set of Gretl Econometric Software functions that perform time series estimation of one-lagged univariate INAR models with Poisson and Negative Binomial marginals.
Integer autoregressive modeling: a new gretl routine / Palazzo, Lucio. - (2019), pp. 95-103. (Intervento presentato al convegno International Conference on the Gnu Regression, Econometrics and Time-series Library) [10.6093/978-88-6887-057-7].
Integer autoregressive modeling: a new gretl routine
Palazzo, Lucio
2019
Abstract
This paper focuses on a family of observation-driven models for autoregressive discrete-valued data, called INAR models. The main purpose of the project is to write and document a set of Gretl Econometric Software functions that perform time series estimation of one-lagged univariate INAR models with Poisson and Negative Binomial marginals.File in questo prodotto:
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