A Flexible Bivariate Integer-Valued Autoregressive of Order (1) Model for Over- and Under-Dispersed Time Series Applications

Naushad Mamode Khan and Yuvraj Sunecher ()
Additional contact information
Naushad Mamode Khan: Department of Economics and Statistics, University of Mauritius, Reduit 80835, Mauritius
Yuvraj Sunecher: Department of Accounting, Finance and Economics, University of Technology Mauritius, Pointe-Aux-Sables, Port Louis 11108, Mauritius

Stats, 2025, vol. 8, issue 1, 1-25

Abstract: In real-life inter-related time series, the counting responses of different entities are commonly influenced by some time-dependent covariates, while the individual counting series may exhibit different levels of mutual over- or under-dispersion or mixed levels of over- and under-dispersion. In the current literature, there is still no flexible bivariate time series process that can model series of data of such types. This paper introduces a bivariate integer-valued autoregressive of order 1 (BINAR(1)) model with COM-Poisson innovations under time-dependent moments that can accommodate different levels of over- and under-dispersion. Another particularity of the proposed model is that the cross-correlation between the series is induced locally by relating the current observation of one series with the previous-lagged observation of the other series. The estimation of the model parameters is conducted via a Generalized Quasi-Likelihood (GQL) approach. The proposed model is applied to different real-life series problems in Mauritius, including transport, finance, and socio-economic sectors.

Keywords: BINAR(1); COM-Poisson; thinning operator; GQL; time series (search for similar items in EconPapers)
JEL-codes: C1 C10 C11 C14 C15 C16 (search for similar items in EconPapers)
Date: 2025
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.mdpi.com/2571-905X/8/1/22/pdf (application/pdf)
https://www.mdpi.com/2571-905X/8/1/22/ (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:gam:jstats:v:8:y:2025:i:1:p:22-:d:1610824

Access Statistics for this article

Stats is currently edited by Mrs. Minnie Li

More articles in Stats from MDPI
Bibliographic data for series maintained by MDPI Indexing Manager ().