Conditional Heteroskedasticity in Count Data Regression: Self-Feeding Activity in Fish

Kurt Brännäs () and Eva Brännäs ()
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Eva Brännäs: Department of Aquaculture, Postal: Swedish University of Agricultural Sciences

No 595, Umeå Economic Studies from Umeå University, Department of Economics

Abstract: The paper introduces a new approach to incorporating time dependent overdispersion for Poisson related regression models. To handle the added flexibility in conditional heteroskedasticity in time series count data some wellknown estimators are adapted and a GMM type estimator is suggested. The estimators are applied to a time series of self-feeding activity in Arctic charr. There is strong support for both a dynamic conditional mean function and a dynamic model for the overdispersion.

Keywords: Poisson; Overdispersion; ARCH; Estimation; Self-Feeding; Arctic Charr (search for similar items in EconPapers)
JEL-codes: C13 C22 C25 C51 (search for similar items in EconPapers)
Pages: 13 pages
Date: 2002-11-21
New Economics Papers: this item is included in nep-ecm
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Published in Communications in Statistics: Theory and Methods, 2004, pages 2745-2758.

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Persistent link: https://EconPapers.repec.org/RePEc:hhs:umnees:0595

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