Testing for zero inflation and overdispersion in INAR(1) models

Christian H. Weiß (), Annika Homburg () and Pedro Puig ()
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Christian H. Weiß: Helmut Schmidt University
Annika Homburg: Helmut Schmidt University
Pedro Puig: Universitat Autònoma de Barcelona

Statistical Papers, 2019, vol. 60, issue 3, No 10, 823-848

Abstract: Abstract The marginal distribution of count data processes rarely follows a simple Poisson model in practice. Instead, one commonly observes deviations such as overdispersion or zero inflation. To express the extend of such deviations from a Poisson model, one can compute an appropriately defined dispersion index or zero index. In this article, we develop several tests based on such indexes, including joint tests being based on an index combination. The asymptotic distribution of the resulting test statistics under the null hypothesis of a Poisson INAR(1) model is derived, and the finite-sample performance of the resulting tests is analyzed. Real data examples illustrate the application of these tests in practice.

Keywords: Discrete data models; Overdispersion; Zero-inflation; Count data time series; Dispersion index; Zero indexes; 60J10; 62M02; 62F12 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (1)

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DOI: 10.1007/s00362-016-0851-y

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