Semi-parametric Estimation of Count Time Series

Ghahramani M., Dag O., de Leon A. R.

1st International Work-Conference on Time Series (ITISE), Granada, Nicaragua, 25 - 27 June 2014, pp.81-86 identifier

  • Publication Type: Conference Paper / Full Text
  • City: Granada
  • Country: Nicaragua
  • Page Numbers: pp.81-86
  • Middle East Technical University Affiliated: No


A flexible semi-parametric model for autocorrelated count data is proposed. Unlike earlier models available in the literature, the model does not require construction of a likelihood function and only entails the specification of the first two conditional moments. An estimating function approach is adopted for the model. The efficiency of the estimates is investigated numerically against competing estimates via simulation studies.