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Testing Serial Dependence in Time Series Models of Counts

Author

Listed:
  • Robert C. Jung

    (Universitaet Tuebingen)

  • Andrew R. Tremayne

    (University of Newcastle)

Abstract

In the course of the analysis of time series of counts the need to test for the presence of a dependence structure arises regularly. Suitable tests for this purpose are analysed in this paper. Their size and power properties are evaluated under various alternatives among which the INARMA-processes play a prominent role. The results can be summarized as follows. (1) All the tests considered but one are robust against extra binomial variation in the data. (2) Newly proposed tests based on the sample autocorrelations and the sample partial autocorrelations can help to distinguish between integer-valued first- order and second-order autoregressive as well as first-order moving average processes. (3) The tests considered are not powerful enough to distinguish between higher-order integer-valued autoregressive processes and the popular parameter-driven processes where a dynamic latent process introduces the serial dependence into the counts. The methods and findings of this study are applied to three data sets: the so called Furth-data already analysed in the branching process literature, data on worker absenteeism and to polio incidence data.

Suggested Citation

  • Robert C. Jung & Andrew R. Tremayne, 2000. "Testing Serial Dependence in Time Series Models of Counts," Econometric Society World Congress 2000 Contributed Papers 1563, Econometric Society, revised 22 Mar 2001.
    • Handle: RePEc:ecm:wc2000:1563
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    Cited by:

    1. Manfred Stadler & Rüdiger Wapler, 2004. "Endogenous Skilled-biased Technological Change and Matching Unemployment," Journal of Economics, Springer, vol. 81(1), pages 1-24, January.
    2. Pitterle, Ingo A. & Steffen, Dirk, 2004. "Welfare effects of fiscal policy under alternative exchange rate regimes: the role of the scale variable of money demand," MPRA Paper 13047, University Library of Munich, Germany, revised Oct 2004.
    3. Koepke, Nikola & Baten, Joerg, 2005. "The biological standard of living in Europe during the last two millennia," European Review of Economic History, Cambridge University Press, vol. 9(1), pages 61-95, April.
    4. Stadler, Manfred, 2003. "Innovation and growth: The role of labor-force qualification," Tübinger Diskussionsbeiträge 255, University of Tübingen, School of Business and Economics.
    5. Baten, Jörg & Wallusch, Jacek, 2003. "Market integration and disintegration of Poland and Gemany [Germany] in the 18th century," Tübinger Diskussionsbeiträge 268, University of Tübingen, School of Business and Economics.

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