Semiparametric independence testing for time series of counts and the role of the support

DOI10.1017/S0266466618000403MaRDI QIDQ5205272zbMATH OpenOpenAlexWikidataFDO

Authors

Publication date 11 December 2019

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s0266466618000403

zbMATH Keywords

time seriessemiparametric testinteger autoregressive (INAR) model

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• scientific article; zbMATH DE number 1354815 (Why is no real title available?)
• scientific article; zbMATH DE number 1069600 (Why is no real title available?)
• scientific article; zbMATH DE number 765034 (Why is no real title available?)
• A TEST OF AUTOCORRELATION IN THE PRESENCE OF HETEROSKEDASTICITY OF UNKNOWN FORM
• A flexible nonparametric test for conditional independence
• A time series approach to the study of the simple subcritical Galton–Watson process with immigration
• Asymptotically uniformly most powerful tests in parametric and semiparametric models
• Efficient Probabilistic Forecasts for Counts
• Efficient estimation of auto-regression parameters and innovation distributions for semiparametric integer-valued \(AR(p)\) models
• Estimation for an M/G/  queue with incomplete information
• FIRST-ORDER INTEGER-VALUED AUTOREGRESSIVE (INAR(1)) PROCESS
• GENERALIZED INTEGER-VALUED AUTOREGRESSION
• Goodness-of-fit for a branching process with immigration using sample partial autocorrelations
• Heterogeneous INAR(1) model with application to car insurance
• Mixed INAR(1) Poisson regression models: Analyzing heterogeneity and serial dependencies in longitudinal count data
• Score statistics for testing serial dependence in count data
• Specification testing when the null is nonparametric or semiparametric
• TESTING FOR WHITE NOISE UNDER UNKNOWN DEPENDENCE AND ITS APPLICATIONS TO DIAGNOSTIC CHECKING FOR TIME SERIES MODELS
• Testing for serial dependence in time series models of counts
• Thinning operations for modeling time series of counts -- a survey

Cited in

(2)

• Score statistics for testing serial dependence in count data
• Score-based bootstrap test for serial dependence in count time series

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