Abstract
ABSTRACTIn this paper, the asymptotic behavior of the conditional least squares estimators of the autoregressive parameters, of the mean of the innovations, and of the stability parameter for unstable integer‐valued autoregressive processes of order 2 is described. The limit distributions and the scaling factors are different according to the following three cases: (i) decomposable, (ii) indecomposable but not positively regular, and (iii) positively regular models.
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