Work

Specifications tests for count time series models with covariates

Year: 2024

Type: article

Abstract: We propose a goodness-of-fit test for a class of count time series models with covariates which includes the Poisson autoregressive model with covariates (PARX) as a special case. The test criteria are derived from a specific characterization for the conditional probability generating function, and the test statistic is formulated as a $$L_2$$ L 2 weighting norm of the corresponding sample counterpart. The asymptotic properties of the proposed test statistic are provided under the null hypothesis as well as under specific alternatives. A bootstrap version of the test is explored in a Monte–Carlo study and illustrated on a real data set on road safety.

Source: Test

DOI: 10.1007/s11749-024-00933-x

Authors: Šárka Hudecová, Marie Hušková, Simos G. Meintanis

Institutions: Charles University, National and Kapodistrian University of Athens, North-West University

Language: English

Topic: Statistical Methods and Inference

Subfield: Statistics and Probability

Field: Mathematics

Domain: Physical Sciences

Open Access status: hybrid

Estimated APC paid: $3,090

Funders: Grantová Agentura České Republiky, North-West University