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Testing for zero inflation and overdispersion in INAR(1) models

Author

Listed:
  • Christian H. Weiß

    (Helmut Schmidt University)

  • Annika Homburg

    (Helmut Schmidt University)

  • Pedro Puig

    (Universitat Autònoma de Barcelona)

Abstract

The marginal distribution of count data processes rarely follows a simple Poisson model in practice. Instead, one commonly observes deviations such as overdispersion or zero inflation. To express the extend of such deviations from a Poisson model, one can compute an appropriately defined dispersion index or zero index. In this article, we develop several tests based on such indexes, including joint tests being based on an index combination. The asymptotic distribution of the resulting test statistics under the null hypothesis of a Poisson INAR(1) model is derived, and the finite-sample performance of the resulting tests is analyzed. Real data examples illustrate the application of these tests in practice.

Suggested Citation

  • Christian H. Weiß & Annika Homburg & Pedro Puig, 2019. "Testing for zero inflation and overdispersion in INAR(1) models," Statistical Papers, Springer, vol. 60(3), pages 823-848, June.
    • Handle: RePEc:spr:stpapr:v:60:y:2019:i:3:d:10.1007_s00362-016-0851-y
    DOI: 10.1007/s00362-016-0851-y
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    References listed on IDEAS

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