Validation tests for the innovation distribution in INAR time series models

Simos Meintanis and Dimitris Karlis ()

Computational Statistics, 2014, vol. 29, issue 5, 1241 pages

Abstract: Goodness-of-fit tests are proposed for the innovation distribution in INAR models. The test statistics incorporate the joint probability generating function of the observations. Special emphasis is given to the INAR(1) model and particular instances of the procedures which involve innovations from the general family of Poisson stopped-sum distributions. A Monte Carlo power study of a bootstrap version of the test statistic is included as well as a real data example. Generalizations of the proposed methods are also discussed. Copyright Springer-Verlag Berlin Heidelberg 2014

Keywords: INAR $$(m)$$ ( m ) model; Goodness-of-fit test; Probability generating function; Binomial thinning (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (13)

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Persistent link: https://EconPapers.repec.org/RePEc:spr:compst:v:29:y:2014:i:5:p:1221-1241

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DOI: 10.1007/s00180-014-0488-z

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