Hermite Regression Analysis of Multi-Modal Count Data
AbstractWe 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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Department of Economics, University of Victoria in its series Econometrics Working Papers with number 1001.
Length: 11 pages
Date of creation: 13 Apr 2010
Date of revision:
Note: ISSN 1485-6441
Contact details of provider:
Postal: PO Box 1700, STN CSC, Victoria, BC, Canada, V8W 2Y2
Web page: http://web.uvic.ca/econ
More information through EDIRC
Count data; multi-modal data; over-dispersion; financial crises;
Other versions of this item:
- David E Giles, 2010. "Hermite regression analysis of multi-modal count data," Economics Bulletin, AccessEcon, vol. 30(4), pages 2936-2945.
- C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions
- C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
This paper has been announced in the following NEP Reports:
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- 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.
- Domac, Ilker & Martinez-Peria, Maria Soledad, 2000. "Banking crises and exchange rate regimes - Is there a link?," Policy Research Working Paper Series 2489, The World Bank.
- 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.
Blog mentionsAs found by EconAcademics.org, the blog aggregator for Economics research:
- Count Data & the Hermite Distribution
by Dave Giles in Econometrics Beat: Dave Giles' Blog on 2012-04-13 20:54:00
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Lori Cretney).
If references are entirely missing, you can add them using this form.