Testing for serial dependence in time series models of counts

Journal of Time Series Analysis

Volumn 24, Issue 1, 2003, Pages 65-84

  Jung, Robert C ^b   Tremayne, A R ^a  

^a UNIVERSITY OF NEWCASTLE   (Australia)

^b NONE

Author keywords

Autocorrelation; INARMA models; Monte Carlo; Partial autocorrelation; Score test; Size and power properties; Time series of counts

Indexed keywords

EID: 0141942168     PISSN: 01439782     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9892.00293     Document Type: Article

References (23)

1. AL-OSH, M. A. and ALZAID, A. A. (1987) First-order integer-valued autoregressive (INAR(1)) process. Journal of Time Series Analysis 8, 261-75.
2. _ and _ (1988) Integer-valued moving average (INMA) process. Statistical Papers 29, 281-300.
3. ALZAID, A. A. and AL-OSH, M. A. (1990) An integer-valued p-th order autoregressive structure (INAR(p)) process. Journal of Applied Probability 27, 314-24.
4. BRÄNNÄS, K. (1994) Estimating and testing in integer-valued AR(1) models. Working Paper No. 335, Department of Economics, University of Umeå, Sweden.
5. _ and HALL, A. (2001) Estimation in integer-valued moving average models. Applied Stochastic Models in Business and Industry 17, 277-91.
6. CAMERON, A. C. and TRIVEDI, P. K. (1998) Regression Analysis of Count Data. Cambridge: Cambridge University Press.
7. COX, D. R. (1981) Statistical analysis of time series: Some recent developments. Scandinavian Journal of Statistics 8, 93-115.
8. DION, J.-P., GAUTHIER, G. and LATOUR, A. (1995) Branching processes with immigration and integervalued time series. Serdica Mathematical Journal 21, 123-36.
9. Du, J.-G. and LI, Y. (1991) The integer-valued autoregressive (INAR(p)) model. Journal of Time Series Analysis 12, 129-42.
10. FELLER, W. (1968) An Introduction to Probability Theory and Its Application, Volume I (3rd edn). New York: John Wiley and Sons.
11. FREELAND, K. (1998) Statistical analysis of discrete time series with application to the analysis of worker's compensation claims data. PhD thesis, University of British Columbia.
12. GIBBONS, J. D. and CHAKRABORTI, S. (1992) Nonparametric Statistical Inference (3rd end). New York: Marcel Dekker.
13. GRUNWALD, G. K., HYNDMAN, R., TEDESCO, L. and TWEEDIE, R. L. (2000) Non-Gaussian conditional linear AR(1) models. Australian and New Zealand Journal of Statistics 42, 479-95.
14. JOHNSON, N. L., KOTZ, S. and KEMP, A. W. (1992) Univariate Discrete Distributions (2nd edn). New York: Wiley.
15. JUNG, R. (1999) Zeitreihenanalyse für Zähldaten. Eine Untersuchung ganzzahliger Autoregressiver-Moving-Average-Prozesse. Lohmar: Josef Eul Verlag.
16. _ and TREMAYNE, A. R. (2000) Testing serial dependence in time series models of counts against some INARMA alternatives. University of Newcastle Discussion Paper 2000-09.
17. MACDONALD, I. L. and ZUCCHINI, W. (1997) Hidden Markov and other models for Discrete-valued Time Series. London: Chapman and Hall.
18. MACKINNON, J. G. (1991) Critical Values for Cointegration Tests. In Long-Run Economic Relationships (eds R. F, ENGLE and C. W. J. GRANGER) Oxford: Oxford University Press, ch. 13.
19. MCKENZIE, E. (1988) Some ARMA models for dependent sequences of Poisson counts. Advances in Applied Probability 20, 822-35.
20. MILLS, T. M. and SENETA, E. (1989) Goodness-of-fit for a branching process with immigration using sample partial autocorrelations. Stochastic Processes and their Applications 33, 151-61.
21. POSKITT, D. S. and TREMAYNE, A. R. (1986) Some aspects of the performance of diagnostic checks in bivariate time series models. Journal of Time Series Analysis 7, 217-33.
22. VENKATARAMAN, K. N. (1982) A time series approach to the study of the simple subcritical Galton-Watson process with immigration. Advances in Applied Probability 14, 1-20.
23. WALD, A. and WOLFOWITZ, J. (1940) On a test whether two samples are from the same population. Annals of Mathematical Statistics 11, 147-62.