Drost, Feike C.; Werker, Bas J.M.; van den Akker, R. - Tilburg University, Center for Economic Research - 2006
This paper considers integer-valued autoregressive processes where the autoregression parameter is close to unity.We consider the asymptotics of this `near unit root' situation.The local asymptotic structure of the likelihood ratios of the model is obtained, showing that the limit experiment is...