Generalized linear autoregressions
AbstractThis paper develops a class of autoregressive and moving average models which extend the generalized linear model. Likelihood and quasi-likelihood estimation procedures are developed which allow the models to be easily estimated and tested. Several examples are given which illustrate the usefulness and simplicity of the approach advocated in this paper.
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Bibliographic InfoPaper provided by Economics Group, Nuffield College, University of Oxford in its series Economics Papers with number 8..
Date of creation: Feb 1995
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Web page: http://www.nuff.ox.ac.uk/economics/
ARCH; autoregression; binomial; categorical data; count data; diagnostic checking; exponential family; gamma; generalized linear models; martingale difference; moving average; overdispersion; poisson.;
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