Ghahramani, M.; Thavaneswaran, A. - In: Economics Letters 105 (2009) 3, pp. 273-275
Heinen (2003) [CORE Discussion Paper 2003/62, Catholic University of Louvain] had studied the moment properties of the Autoregressive Conditional Poisson (ACP) model. In this paper, we extend Heinen's results to higher order ACP(p, q) models with p > 1 and q > 1.
