Forecasting integer autoregressive processes of order 1: are simple AR competitive?

被引：0

作者：

Bisaglia, Luisa ^{[1
]}

Gerolimetto, Margherita ^{[2
]}

机构：

[1] Univ Padua, Dept Stat Sci, I-35100 Padua, Italy

[2] Ca Foscari Univ, Dept Econ, Venice, Italy

来源：

ECONOMICS BULLETIN | 2015年 / 35卷 / 03期

关键词：

D O I：

暂无

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

In this work we want to clarify, via a Monte Carlo experiment, if (and when) for an integer-valued time series it is really recommended to adopt the coherent forecasting methods from INAR models or if equivalently good predictions can be obtained from the simpler AR models. Results show that INAR models should be preferred.

引用

页码：1652 / +

页数：10

共 50 条

[41] Conditional L-1 estimation for random coefficient integer-valued autoregressive processes
Chen, Xi
Wang, Lihong
STATISTICS & RISK MODELING, 2013, 30 (03) : 221 - 235
[42] A new geometric first-order integer-valued autoregressive (NGINAR(1)) process
Ristic, Miroslav M.
Bakouch, Hassan S.
Nastic, Aleksandar S.
JOURNAL OF STATISTICAL PLANNING AND INFERENCE, 2009, 139 (07) : 2218 - 2226
[43] A Time Series Model: First-order Integer-valued Autoregressive (INAR(1))
Simarmata, D. M.
Novkaniza, F.
Widyaningsih, Y.
INTERNATIONAL SYMPOSIUM ON CURRENT PROGRESS IN MATHEMATICS AND SCIENCES 2016 (ISCPMS 2016), 2017, 1862
[44] A note on maximum autoregressive processes of order one
Zarepour, M
Banjevic, D
JOURNAL OF TIME SERIES ANALYSIS, 2002, 23 (05) : 619 - 626
[45] Decomposition of an autoregressive process into first order processes
Monsour, Michael J.
JOURNAL OF MULTIVARIATE ANALYSIS, 2016, 147 : 295 - 314
[46] Determining the order of differencing in autoregressive processes (Reprinted)
Dickey, DA
Pantula, SG
JOURNAL OF BUSINESS & ECONOMIC STATISTICS, 2002, 20 (01) : 18 - 24
[47] On robust estimation in the first order autoregressive processes
Haddad, JN
COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2000, 29 (01) : 45 - 54
[48] Multivariate threshold integer-valued autoregressive processes with explanatory variables
Yang, Kai
Xu, Nuo
Li, Han
Zhao, Yiwei
Dong, Xiaogang
APPLIED MATHEMATICAL MODELLING, 2023, 124 : 142 - 166
[49] A Goodness-of-Fit Test for Integer-Valued Autoregressive Processes
Schweer, Sebastian
JOURNAL OF TIME SERIES ANALYSIS, 2016, 37 (01) : 77 - 98
[50] Integer-Valued Self-Exciting Threshold Autoregressive Processes
Monteiro, Magda
Scotto, Manuel G.
Pereira, Isabel
COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2012, 41 (15) : 2717 - 2737

← 1 2 3 4 5 →