Specifications tests for count time series models with covariates

Šárka Hudecová (), Marie Hušková () and Simos G. Meintanis ()
Additional contact information
Šárka Hudecová: Charles University
Marie Hušková: Charles University
Simos G. Meintanis: National and Kapodistrian University of Athens

TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, 2024, vol. 33, issue 4, No 2, 1014-1040

Abstract: Abstract We propose a goodness-of-fit test for a class of count time series models with covariates which includes the Poisson autoregressive model with covariates (PARX) as a special case. The test criteria are derived from a specific characterization for the conditional probability generating function, and the test statistic is formulated as a $$L_2$$ L 2 weighting norm of the corresponding sample counterpart. The asymptotic properties of the proposed test statistic are provided under the null hypothesis as well as under specific alternatives. A bootstrap version of the test is explored in a Monte–Carlo study and illustrated on a real data set on road safety.

Keywords: Count time series with covariates; PARX; INGARCH-X; Goodness-of-fit test; Probability generating function; Bootstrap test; 62M10; 62F03 (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://link.springer.com/10.1007/s11749-024-00933-x Abstract (text/html)
Access to the full text of the articles in this series is restricted.

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:spr:testjl:v:33:y:2024:i:4:d:10.1007_s11749-024-00933-x

Ordering information: This journal article can be ordered from
http://www.springer. ... cs/journal/11749/PS2

DOI: 10.1007/s11749-024-00933-x

Access Statistics for this article

TEST: An Official Journal of the Spanish Society of Statistics and Operations Research is currently edited by Alfonso Gordaliza and Ana F. Militino

More articles in TEST: An Official Journal of the Spanish Society of Statistics and Operations Research from Springer, Sociedad de Estadística e Investigación Operativa
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().