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Quasi-Likelihood Inference For Negative Binomial Time Series Models

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  • Vasiliki Christou
  • Konstantinos Fokianos

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  • Vasiliki Christou & Konstantinos Fokianos, 2014. "Quasi-Likelihood Inference For Negative Binomial Time Series Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(1), pages 55-78, January.
    • Handle: RePEc:bla:jtsera:v:35:y:2014:i:1:p:55-78
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    File URL: http://hdl.handle.net/10.1111/jtsa.12050
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    References listed on IDEAS

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    1. Fokianos, Konstantinos & Rahbek, Anders & Tjøstheim, Dag, 2009. "Poisson Autoregression," Journal of the American Statistical Association, American Statistical Association, vol. 104(488), pages 1430-1439.
    2. Richard A. Davis, 2003. "Observation-driven models for Poisson counts," Biometrika, Biometrika Trust, vol. 90(4), pages 777-790, December.
    3. Gao, Jiti & King, Maxwell & Lu, Zudi & Tjøstheim, Dag, 2009. "Nonparametric Specification Testing For Nonlinear Time Series With Nonstationarity," Econometric Theory, Cambridge University Press, vol. 25(6), pages 1869-1892, December.
    4. Richard A. Davis & Rongning Wu, 2009. "A negative binomial model for time series of counts," Biometrika, Biometrika Trust, vol. 96(3), pages 735-749.
    5. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    6. Doukhan, Paul & Louhichi, Sana, 1999. "A new weak dependence condition and applications to moment inequalities," Stochastic Processes and their Applications, Elsevier, vol. 84(2), pages 313-342, December.
    7. White, Halbert, 1982. "Maximum Likelihood Estimation of Misspecified Models," Econometrica, Econometric Society, vol. 50(1), pages 1-25, January.
    8. Gourieroux, Christian & Monfort, Alain & Trognon, Alain, 1984. "Pseudo Maximum Likelihood Methods: Theory," Econometrica, Econometric Society, vol. 52(3), pages 681-700, May.
    9. Doukhan, Paul & Wintenberger, Olivier, 2008. "Weakly dependent chains with infinite memory," Stochastic Processes and their Applications, Elsevier, vol. 118(11), pages 1997-2013, November.
    10. Fokianos, Konstantinos & Tjøstheim, Dag, 2011. "Log-linear Poisson autoregression," Journal of Multivariate Analysis, Elsevier, vol. 102(3), pages 563-578, March.
    11. Claudia Czado & Tilmann Gneiting & Leonhard Held, 2009. "Predictive Model Assessment for Count Data," Biometrics, The International Biometric Society, vol. 65(4), pages 1254-1261, December.
    12. Meitz, Mika & Saikkonen, Pentti, 2011. "Parameter Estimation In Nonlinear Ar–Garch Models," Econometric Theory, Cambridge University Press, vol. 27(6), pages 1236-1278, December.
    13. Konstantinos Fokianos & Dag Tjøstheim, 2012. "Nonlinear Poisson autoregression," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 64(6), pages 1205-1225, December.
    14. Doukhan, Paul & Fokianos, Konstantinos & Tjøstheim, Dag, 2012. "On weak dependence conditions for Poisson autoregressions," Statistics & Probability Letters, Elsevier, vol. 82(5), pages 942-948.
    15. Jung, Robert C. & Kukuk, Martin & Liesenfeld, Roman, 2006. "Time series of count data: modeling, estimation and diagnostics," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2350-2364, December.
    16. Gourieroux, Christian & Monfort, Alain & Trognon, Alain, 1984. "Pseudo Maximum Likelihood Methods: Applications to Poisson Models," Econometrica, Econometric Society, vol. 52(3), pages 701-720, May.
    17. René Ferland & Alain Latour & Driss Oraichi, 2006. "Integer‐Valued GARCH Process," Journal of Time Series Analysis, Wiley Blackwell, vol. 27(6), pages 923-942, November.
    18. Fukang Zhu, 2011. "A negative binomial integer‐valued GARCH model," Journal of Time Series Analysis, Wiley Blackwell, vol. 32(1), pages 54-67, January.
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