A negative binomial model for time series of counts

We study generalized linear models for time series of counts, where serial dependence is introduced through a dependent latent process in the link function. Conditional on the covariates and the latent process, the observation is modelled by a negative binomial distribution. To estimate the regression coefficients, we maximize the pseudolikelihood that is based on a generalized linear model with the latent process suppressed. We show the consistency and asymptotic normality of the generalized linear model estimator when the latent process is a stationary strongly mixing process. We extend the asymptotic results to generalized linear models for time series, where the observation variable, conditional on covariates and a latent process, is assumed to have a distribution from a one-parameter exponential family. Thus, we unify in a common framework the results for Poisson log-linear regression models of Davis et al. (2000), negative binomial logit regression models and other similarly specified generalized linear models. Copyright 2009, Oxford University Press.