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Conditional Heteroskedasticity in Count Data Regression: Self-Feeding Activity in Fish
Umeå universitet, Samhällsvetenskapliga fakulteten, Institutionen för nationalekonomi.
2004 (engelsk)Inngår i: Communications in Statistics - Theory and Methods, ISSN 0361-0926, E-ISSN 1532-415X, Vol. 33, nr 11, s. 2745-2758Artikkel i tidsskrift (Fagfellevurdert) Published
Abstract [en]

This paper introduces a new approach to incorporating time-dependent overdispersion for Poisson-related regression models. To handle the added flexibility in conditional heteroskedasticity in time series count data models, some well-known estimators are adapted, and a generalized method of moments (GMM) estimator is suggested. The estimators are applied to a time series of self-feeding activity in Arctic charr. There is strong support for both a dynamic conditional mean function and a dynamic model for the overdispersion.

sted, utgiver, år, opplag, sider
2004. Vol. 33, nr 11, s. 2745-2758
Emneord [en]
ARCH, Arctic charr, Estimation, Overdispersion, Poisson, Self-feeding
HSV kategori
Forskningsprogram
ekonometri
Identifikatorer
URN: urn:nbn:se:umu:diva-12106DOI: 10.1081/STA-200037877OAI: oai:DiVA.org:umu-12106DiVA, id: diva2:151777
Tilgjengelig fra: 2007-03-21 Laget: 2007-03-21 Sist oppdatert: 2018-06-09bibliografisk kontrollert

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