Testing for Poisson arrivals in INAR(1) processes

Sebastian Schweer () and Christian H. Weiß ()
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Sebastian Schweer: University of Heidelberg
Christian H. Weiß: Helmut Schmidt University

TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, 2016, vol. 25, issue 3, No 6, 503-524

Abstract: Abstract In the framework of integer-valued autoregressive processes of order 1 [INAR(1)], two new tests for the null hypothesis of Poisson-distributed innovations are developed. The tests focus on time reversibility, as this feature is shown to be satisfied exclusively by Poisson INAR(1) processes. The necessary asymptotic variances are explicitly calculated using the joint cumulants of these processes. The finite-sample behavior of the test statistics and the power of the tests are investigated in a simulation study. The results show that the newly developed tests perform better than existing ones in certain situations.

Keywords: INAR(1) model; Time reversibility; Joint cumulants; Generalized autocovariance; Skewness index; 60J10; 62M02; 62F12 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (5)

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DOI: 10.1007/s11749-015-0466-y

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