Advanced SearchSearch Tips
Model Checking for Time-Series Count Data
facebook(new window)  Pirnt(new window) E-mail(new window) Excel Download
 Title & Authors
Model Checking for Time-Series Count Data
Lee, Sung-Im;
  PDF(new window)
This paper considers a specification test of conditional Poisson regression model for time series count data. Although conditional models for count data have received attention and proposed in several ways, few studies focused on checking its adequacy. Motivated by the test of martingale difference assumption, a specification test via Ljung-Box statistic is proposed in the conditional model of the time series count data. In order to illustrate the performance of Ljung- Box test, simulation results will be provided.
Time-series count data;conditional model;Martingale difference test;Ljung-Box test;
 Cited by
Kim, E.H., Ha, J.C., Jeon, Y.S., and Lee, S.Y.(2004). Ljung-Box test in unit root AR-ARCH model. The Korean Communications in Statistics vol. 11. No.2. 323-327 crossref(new window)

Choi, Y.H., Lee, S., and Lee, S.Y.(2003). Generalized liner model with time series data, The Korean Journal of Applied Satistics, vol. 16, 365-376 crossref(new window)

Anderson, T.W. (1993), Goodness of fit tests for spectral distributions, Annals of Statistics, vol. 21, 830-847 crossref(new window)

Brumback, B.A., Ryan, L.M., Schwartz, J.D., Neas, L.M., Stark, P.C, and Burge, H.A. (2000). Transitional regression models, with application to environmental time series. Journal of American Statistical Association, vol. 95, 16-27 crossref(new window)

Durlauf, S. N. (1991), Spectral based testing of the martingale hypothesis, Journal of Econometrics, vol. 50, 355-376 crossref(new window)

Fahrmeir, L., and Tutz, G.(2001). Multivariate statistical modelling based on generalized linear models, New-York: Springer-Verlag

Fokianos, K. (2000). Truncated poisson regression for time series of counts. Scandinavian Journal of Statistics. vol. 28. 645-659 crossref(new window)

Hong, Y. (1996). Consistent testing for serial correlation of unknown form. Econometrica, vol. 64, 837-864 crossref(new window)

Ljung, G.M. and Box, G.E.P.(1978). On a measure of lack of fit in time series models. Biometrika, vol. 65, 297-303 crossref(new window)

Pena, D. and Rodriguez, Julio. (2002). A powerful portmanteau test of lack of fit for time series. Journal of American Statistical Association, Vol, 97, 601-610 crossref(new window)

Wong, W. H. (1986). Theory of partial likelihood. Annals of Statistics, vol. 14, 88-123 crossref(new window)

Zeger, S. L. and Qaquish, B. (1988). Markov regression models for time series: A Quasi-Likelihood Approach. Biometrics, Vol. 44, 1019-1031 crossref(new window)