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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.

Suggested Citation

  • David E. Giles, 2010. "Hermite Regression Analysis of Multi-Modal Count Data," Econometrics Working Papers 1001, Department of Economics, University of Victoria.
  • Handle: RePEc:vic:vicewp:1001
    Note: ISSN 1485-6441
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    File URL: http://www.uvic.ca/socialsciences/economics/assets/docs/econometrics/ewp1001.pdf
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    References listed on IDEAS

    as
    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;European Society for Population Economics, 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 2012-04-14 01:54:00

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    Cited by:

    1. Bent Jørgensen & Célestin C. Kokonendji, 2016. "Discrete dispersion models and their Tweedie asymptotics," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 100(1), pages 43-78, January.

    More about this item

    Keywords

    Count data; multi-modal data; over-dispersion; financial crises;

    JEL classification:

    • 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; Probabilities
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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