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- Brännäs, KurtUmeå universitet,Nationalekonomi (author)
Time-series count data regression
- Article/chapterEnglish1994
Publisher, publication year, extent ...
- Informa UK Limited,1994
- printrdacarrier
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- LIBRIS-ID:oai:DiVA.org:umu-65003
- https://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-65003URI
- https://doi.org/10.1080/03610929408831424DOI
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- Language:English
- Summary in:English
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- The count data model studied in the paper extends the Poisson model by allowing for overdispersion and serial correlation. Alternative approaches to estimate nuisance parameters, required for the correction of the Poisson maximum likelihood covariance matrix estimator and for a quasi-likelihood estimator, are studied. The estimators are evaluated by finite sample Monte Carlo experimentation. It is found that the Poisson maximum likelihood estimator with corrected covariance matrix estimators provide reliable inferences for longer time series. Overdispersion test statistics are wellbehaved, while conventional portmanteau statistics for white noise have too large sizes. Two empirical illustrations are included.
Subject headings and genre
- NATURVETENSKAP Matematik Sannolikhetsteori och statistik hsv//swe
- NATURAL SCIENCES Mathematics Probability Theory and Statistics hsv//eng
- poisson regression
- overdispersion
- serial correlation
- inference
- maximum likelihood
- least squares
- method of moments
Added entries (persons, corporate bodies, meetings, titles ...)
- Johansson, PerUmeå universitet,Nationalekonomi (author)
- Umeå universitetNationalekonomi (creator_code:org_t)
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- In:Communications in Statistics - Theory and Methods: Informa UK Limited23:10, s. 2907-29250361-09261532-415X
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