We propose a new bivariate nonnegative integer-autoregressive (BINAR) model for count process data. We first generalize the existing BINAR(1) model by allowing for dependence between different thinning operators. The extended family allows for intuitive interpretation, as well as tractable...

The paper presents a study of temporal dependence in nonlinear transformations of time series. We examine the effects of parametric transformations on autocorrelation values and the persistence range with special emphasis on long memory processes. We derive an invariance property for the order...

The first-price auction model has been intensively studied in the econometric literature. Probably one of the best well-known papers in this field is the one by Guerre et al. (2000) where the authors show the nonparametric identification of the distribution of the private values within the...