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I am trying to perform a simple time series analysis with count time series data. My data is a sequence of small integer values like 0,1,2 and 3. I learned from various sources that INAR model would be appropriate with such data.

My question is whether anyone knows R codes for fitting a simple INAR(1) model (regressing time series data on a binary dummy variable).

Appreciate any assistance.

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For count time series data you can also fit Autoregressive Conditional Poisson model. Here is a link to an article describing it. There is also an R package acp. I used it recently and I got some decent results.

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  • $\begingroup$ is the ACP model equivalent to the INAR model? $\endgroup$ – crow Jul 27 '17 at 21:58
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Have you looked at the LaplacesDemon package? They have some examples for autoregressive poisson. http://cran.cermin.lipi.go.id/web/packages/LaplacesDemon/vignettes/Examples.pdf

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