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Useful models for time series of counts or simply wrong ones?

  • Robert Jung

    ()

  • A. Tremayne

    ()

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File URL: http://hdl.handle.net/10.1007/s10182-010-0139-9
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Article provided by Springer in its journal AStA Advances in Statistical Analysis.

Volume (Year): 95 (2011)
Issue (Month): 1 (March)
Pages: 59-91

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Handle: RePEc:spr:alstar:v:95:y:2011:i:1:p:59-91
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  1. Konstantinos Fokianos & Anders Rahbek & Dag Tjøstheim, 2008. "Poisson Autoregression," Discussion Papers 08-35, University of Copenhagen. Department of Economics, revised Dec 2008.
  2. Christian Weiß, 2009. "Modelling time series of counts with overdispersion," Statistical Methods and Applications, Springer, vol. 18(4), pages 507-519, November.
  3. Neil Shephard, 1995. "Generalized linear autoregressions," Economics Papers 8., Economics Group, Nuffield College, University of Oxford.
  4. Frey, Stefan & Sandås, Patrik, 2009. "The impact of iceberg orders in limit order books," CFR Working Papers 09-06, University of Cologne, Centre for Financial Research (CFR).
  5. J. Durbin & S. J. Koopman, 2000. "Time series analysis of non-Gaussian observations based on state space models from both classical and Bayesian perspectives," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 62(1), pages 3-56.
  6. Harvey, Andrew C & Fernandes, C, 1989. "Time Series Models for Count or Qualitative Observations," Journal of Business & Economic Statistics, American Statistical Association, vol. 7(4), pages 407-17, October.
  7. Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
  8. René Ferland & Alain Latour & Driss Oraichi, 2006. "Integer-Valued GARCH Process," Journal of Time Series Analysis, Wiley Blackwell, vol. 27(6), pages 923-942, November.
  9. Richard A. Davis, 2003. "Observation-driven models for Poisson counts," Biometrika, Biometrika Trust, vol. 90(4), pages 777-790, December.
  10. Robert F. Engle & Jeffrey R. Russell, 1998. "Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data," Econometrica, Econometric Society, vol. 66(5), pages 1127-1162, September.
  11. Harvey, Andrew C & Fernandes, C, 1989. "Time Series Models for Count or Qualitative Observations: Reply," Journal of Business & Economic Statistics, American Statistical Association, vol. 7(4), pages 422, October.
  12. Jung, Robert C. & Kukuk, Martin & Liesenfeld, Roman, 2006. "Time series of count data: modeling, estimation and diagnostics," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2350-2364, December.
  13. Ruijun Bu & Brendan McCabe & Kaddour Hadri, 2008. "Maximum likelihood estimation of higher-order integer-valued autoregressive processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 29(6), pages 973-994, November.
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