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Conditional Heteroskedasticity in Count Data Regression: Self-Feeding Activity in Fish
Umeå University, Faculty of Social Sciences, Department of Economics.
2004 (English)In: Communications in Statistics - Theory and Methods, ISSN 0361-0926, E-ISSN 1532-415X, Vol. 33, no 11, 2745-2758 p.Article in journal (Refereed) 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.

Place, publisher, year, edition, pages
2004. Vol. 33, no 11, 2745-2758 p.
Keyword [en]
ARCH, Arctic charr, Estimation, Overdispersion, Poisson, Self-feeding
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URN: urn:nbn:se:umu:diva-12106DOI: 10.1081/STA-200037877OAI: diva2:151777
Available from: 2007-03-21 Created: 2007-03-21 Last updated: 2013-02-05Bibliographically approved

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Brännäs, Kurt
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Department of Economics
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