Estimating the parameters of the binomial autoregressive process of order one

摘要

The main objective of this paper is to compare various methods of estimation for the parameters of the first-order Binomial Autoregressive Process. The small sample performance of the Yule–Walker method, conditional least squares (CLS), Gaussian estimation and the generalized moments method (GMM) are studied. A simulation study is presented to compare the performance of these methods.