Conditional Heteroskedasticity in Count Data Regression: Self-Feeding Activity in Fish
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
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.
ARCH, Arctic charr, Estimation, Overdispersion, Poisson, Self-feeding
Research subject Econometrics
IdentifiersURN: urn:nbn:se:umu:diva-12106DOI: 10.1081/STA-200037877OAI: oai:DiVA.org:umu-12106DiVA: diva2:151777