Hermite regression analysis of multi-modal count data

David Giles

Economics Bulletin, 2010, vol. 30, issue 4, 2936-2945

Abstract: We discuss the modeling of count data whose empirical distribution is both multi-modal and over-dispersed, and propose the Hermite distribution with covariates introduced through the conditional mean. The model is readily estimated by maximum likelihood, and nests the Poisson model as a special case. The Hermite regression model is applied to data for the number of banking and currency crises in IMF-member countries, and is found to out-perform the Poisson and negative binomial models.

Keywords: Count data; multi-modal data; over-dispersion; financial crises (search for similar items in EconPapers)
JEL-codes: C2 C4 (search for similar items in EconPapers)
Date: 2010-11-09
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