Compound Poisson INAR(1) processes: Stochastic properties and testing for overdispersion

Sebastian Schweer and Christian H. Weiß

Computational Statistics & Data Analysis, 2014, vol. 77, issue C, 267-284

Abstract: The compound Poisson INAR(1) model for time series of overdispersed counts is considered. For such CPINAR(1) processes, explicit results are derived for joint moments, for the k-step-ahead distribution as well as for the stationary distribution. It is shown that a CPINAR(1) process is strongly mixing with exponentially decreasing weights. This result is utilized to design a test for overdispersion in INAR(1) processes and to derive its asymptotic power function. An application of our results to a real-data example and a study of the finite-sample performance of the test are presented.

Keywords: Compound Poisson distribution; INAR(1) model; Joint moments; α-mixing; Index of dispersion (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (40)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:csdana:v:77:y:2014:i:c:p:267-284

DOI: 10.1016/j.csda.2014.03.005

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