Hermite regression analysis of multi-modal count data
AbstractWe discuss the modeling of count data whose empirical distribution is both multi-modal and over-dispersed, and propose the Hermite distribution with covariates introduced through the conditional mean. The model is readily estimated by maximum likelihood, and nests the Poisson model as a special case. The Hermite regression model is applied to data for the number of banking and currency crises in IMF-member countries, and is found to out-perform the Poisson and negative binomial models.
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Bibliographic InfoArticle provided by AccessEcon in its journal Economics Bulletin.
Volume (Year): 30 (2010)
Issue (Month): 4 ()
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Count data; multi-modal data; over-dispersion; financial crises;
Other versions of this item:
- David E. Giles, 2010. "Hermite Regression Analysis of Multi-Modal Count Data," Econometrics Working Papers 1001, Department of Economics, University of Victoria.
- C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
- C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Francisco Covas & J.M.C. Santos Silva, 2000. "A modified hurdle model for completed fertility," Journal of Population Economics, Springer, vol. 13(2), pages 173-188.
- Domac, Ilker & Martinez Peria, Maria Soledad, 2003.
"Banking crises and exchange rate regimes: is there a link?,"
Journal of International Economics,
Elsevier, vol. 61(1), pages 41-72, October.
- Domac, Ilker & Martinez-Peria, Maria Soledad, 2000. "Banking crises and exchange rate regimes - Is there a link?," Policy Research Working Paper Series 2489, The World Bank.
Blog mentionsAs found by EconAcademics.org, the blog aggregator for Economics research:
- Count Data & the Hermite Distribution
by Dave Giles in Econometrics Beat: Dave Giles' Blog on 2012-04-13 20:54:00
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