A random coefficient INAR(1) model is introduced. Ergodicity of the process is established. Moments and autocovariance functions are obtained. Conditional least squares and quasi-likelihood estimators of the model parameters are derived and their asymptotic properties are established. The performance of these estimators are compared with the maximum likelihood estimator via simulation.


TR Number: 
H. Zheng, I. V. Basawa and S. Datta

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