The paper introduces a new approach to incorporating time dependent overdispersion for Poisson related regression models. To handle the added flexibility in conditional heteroskedasticity in time series count data some wellknown estimators are adapted and a GMM type estimator is suggested. The estimators are applied to a time series of self-feeding activity in Arctic charr. There is strong support for both a dynamic conditional mean function and a dynamic model for the overdispersion.
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Paper provided by Umeå University, Department of Economics in its series Umeå Economic Studies with number
595.
Length: 13 pages Date of creation: 21 Nov 2002 Date of revision: Publication status: Published in Communications in Statistics: Theory and Methods, 2004, pages 2745-2758. Handle: RePEc:hhs:umnees:0595
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