Generalized linear autoregressions

Neil Shephard ()

No 8., Economics Papers from Economics Group, Nuffield College, University of Oxford

Abstract: This paper develops a class of autoregressive and moving average models which extend the generalized linear model. Likelihood and quasi-likelihood estimation procedures are developed which allow the models to be easily estimated and tested. Several examples are given which illustrate the usefulness and simplicity of the approach advocated in this paper.

Keywords: ARCH; autoregression; binomial; categorical data; count data; diagnostic checking; exponential family; gamma; generalized linear models; martingale difference; moving average; overdispersion; poisson. (search for similar items in EconPapers)
Date: 1995-02
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Citations: View citations in EconPapers (20)

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