Author

Lu Yang

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Preprint Sep 2026

Consistent intercept estimation and inference for unit-root INAR(2) processes

\citet{barczy2014asymptotic} showed that the ordinary least-squares (OLS) estimator of the innovation mean is inconsistent for a unit-root INAR(2) process. We construct a consistent intercept estimator using inverse-time weighted least squares (WLS) and derive its mixed-rate asymptotics: the intercept estimator is asym...

Lu Yang, M. Ispány · 1 citation