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Hermite Regression Analysis of Multi-Modal Count Data

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Abstract

We discuss the modeling of count data whose empirical distribution is both multi-modal and overdispersed, 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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File URL: http://www.uvic.ca/socialsciences/economics/assets/docs/econometrics/ewp1001.pdf
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Bibliographic Info

Paper provided by Department of Economics, University of Victoria in its series Econometrics Working Papers with number 1001.

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Length: 11 pages
Date of creation: 13 Apr 2010
Date of revision:
Handle: RePEc:vic:vicewp:1001

Note: ISSN 1485-6441
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Postal: PO Box 1700, STN CSC, Victoria, BC, Canada, V8W 2Y2
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Web page: http://web.uvic.ca/econ
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Keywords: Count data; multi-modal data; over-dispersion; financial crises;

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  1. 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.
  2. 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.
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Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. 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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