IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this paper or follow this series

Testing Serial Dependence in Time Series Models of Counts

  • Robert C. Jung

    (Universitaet Tuebingen)

  • Andrew R. Tremayne

    (University of Newcastle)

In the course of the analysis of time series of counts the need to test for the presence of a dependence structure arises regularly. Suitable tests for this purpose are analysed in this paper. Their size and power properties are evaluated under various alternatives among which the INARMA-processes play a prominent role. The results can be summarized as follows. (1) All the tests considered but one are robust against extra binomial variation in the data. (2) Newly proposed tests based on the sample autocorrelations and the sample partial autocorrelations can help to distinguish between integer-valued first- order and second-order autoregressive as well as first-order moving average processes. (3) The tests considered are not powerful enough to distinguish between higher-order integer-valued autoregressive processes and the popular parameter-driven processes where a dynamic latent process introduces the serial dependence into the counts. The methods and findings of this study are applied to three data sets: the so called Furth-data already analysed in the branching process literature, data on worker absenteeism and to polio incidence data.

To our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.

Paper provided by Econometric Society in its series Econometric Society World Congress 2000 Contributed Papers with number 1563.

as
in new window

Length:
Date of creation: 01 Aug 2000
Date of revision: 22 Mar 2001
Handle: RePEc:ecm:wc2000:1563
Contact details of provider: Phone: 1 212 998 3820
Fax: 1 212 995 4487
Web page: http://www.econometricsociety.org/pastmeetings.asp
Email:


More information through EDIRC

No references listed on IDEAS
You can help add them by filling out this form.

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:ecm:wc2000:1563. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F. Baum)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.