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Conditional Heteroskedasticity in Count Data Regression: Self-Feeding Activity in Fish

Author

Listed:
  • Brännäs, Kurt

    (Department of Economics, Umeå University)

  • Brännäs, Eva

    (Department of Aquaculture)

Abstract

The paper introduces a new approach to incorporating time dependent overdispersion for Poisson related regression models. To handle the added flexibility in conditional heteroskedasticity in time series count data some wellknown estimators are adapted and a GMM type estimator is suggested. The estimators are applied to a time series of self-feeding activity in Arctic charr. There is strong support for both a dynamic conditional mean function and a dynamic model for the overdispersion.

Suggested Citation

  • Brännäs, Kurt & Brännäs, Eva, 2002. "Conditional Heteroskedasticity in Count Data Regression: Self-Feeding Activity in Fish," Umeå Economic Studies 595, Umeå University, Department of Economics.
  • Handle: RePEc:hhs:umnees:0595
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    References listed on IDEAS

    as
    1. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-1054, July.
    2. Davidson, Russell & MacKinnon, James G., 1993. "Estimation and Inference in Econometrics," OUP Catalogue, Oxford University Press, number 9780195060119.
    3. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
    4. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-370, March.
    5. Winkelmann, Rainer & Zimmermann, Klaus F., 1991. "A new approach for modeling economic count data," Economics Letters, Elsevier, vol. 37(2), pages 139-143, October.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Poisson; Overdispersion; ARCH; Estimation; Self-Feeding; Arctic Charr;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities
    • C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

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