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Useful models for time series of counts or simply wrong ones?

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  • Robert Jung

    ()

  • A. Tremayne

    ()

Abstract

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File URL: http://hdl.handle.net/10.1007/s10182-010-0139-9
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Bibliographic Info

Article provided by Springer in its journal AStA Advances in Statistical Analysis.

Volume (Year): 95 (2011)
Issue (Month): 1 (March)
Pages: 59-91

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Handle: RePEc:spr:alstar:v:95:y:2011:i:1:p:59-91

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Web page: http://www.springerlink.com/link.asp?id=112915

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Related research

Keywords: Count time series; Parameter-driven; Observation-driven; Autocorrelation; Overdispersion; Diagnostics;

References

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  1. Frey, Stefan & Sandås, Patrik, 2009. "The impact of iceberg orders in limit order books," CFR Working Papers 09-06, University of Cologne, Centre for Financial Research (CFR).
  2. René Ferland & Alain Latour & Driss Oraichi, 2006. "Integer-Valued GARCH Process," Journal of Time Series Analysis, Wiley Blackwell, vol. 27(6), pages 923-942, November.
  3. Fokianos, Konstantinos & Rahbek, Anders & Tjøstheim, Dag, 2009. "Poisson Autoregression," Journal of the American Statistical Association, American Statistical Association, vol. 104(488), pages 1430-1439.
  4. Ruijun Bu & Brendan McCabe & Kaddour Hadri, 2008. "Maximum likelihood estimation of higher-order integer-valued autoregressive processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 29(6), pages 973-994, November.
  5. Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
  6. Richard A. Davis, 2003. "Observation-driven models for Poisson counts," Biometrika, Biometrika Trust, vol. 90(4), pages 777-790, December.
  7. Christian Weiß, 2009. "Modelling time series of counts with overdispersion," Statistical Methods and Applications, Springer, vol. 18(4), pages 507-519, November.
  8. Neil Shephard, 1995. "Generalized linear autoregressions," Economics Papers 8., Economics Group, Nuffield College, University of Oxford.
  9. J. Durbin & S. J. Koopman, 2000. "Time series analysis of non-Gaussian observations based on state space models from both classical and Bayesian perspectives," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 62(1), pages 3-56.
  10. Jung, Robert C. & Kukuk, Martin & Liesenfeld, Roman, 2006. "Time series of count data: modeling, estimation and diagnostics," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2350-2364, December.
  11. Harvey, Andrew C & Fernandes, C, 1989. "Time Series Models for Count or Qualitative Observations: Reply," Journal of Business & Economic Statistics, American Statistical Association, vol. 7(4), pages 422, October.
  12. Robert F. Engle & Jeffrey R. Russell, 1998. "Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data," Econometrica, Econometric Society, vol. 66(5), pages 1127-1162, September.
  13. Harvey, Andrew C & Fernandes, C, 1989. "Time Series Models for Count or Qualitative Observations," Journal of Business & Economic Statistics, American Statistical Association, vol. 7(4), pages 407-17, October.
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Cited by:
  1. Scotto, Manuel G. & Weiß, Christian H. & Silva, Maria Eduarda & Pereira, Isabel, 2014. "Bivariate binomial autoregressive models," Journal of Multivariate Analysis, Elsevier, vol. 125(C), pages 233-251.
  2. Christian Weiß & Hee-Young Kim, 2013. "Parameter estimation for binomial AR(1) models with applications in finance and industry," Statistical Papers, Springer, vol. 54(3), pages 563-590, August.

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