Tests for time series of counts based on the probability-generating function
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Publication:5263982
Abstract: We propose testing procedures for the hypothesis that a given set of discrete observations may be formulated as a particular time series of counts with a specific conditional law. The new test statistics incorporate the empirical probability generating function computed from the observations. Special emphasis is given to the popular models of integer autoregression and Poisson autoregression. The asymptotic properties of the proposed test statistics are studied under the null hypothesis as well as under alternatives. A Monte Carlo power study on bootstrap versions of the new methods is included as well as real-data examples.
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Cited in
(18)- Sequential probability ratio test for zero inflation in counting data
- Semiparametric independence testing for time series of counts and the role of the support
- Novel goodness-of-fit tests for binomial count time series
- Monitoring procedures for strict stationarity based on the multivariate characteristic function
- Testing for serial dependence in time series models of counts
- Testing for an excessive number of zeros in time series of bounded counts
- Tests for structural changes in time series of counts
- Score statistics for testing serial dependence in count data
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- Portmanteau tests for generalized integer-valued autoregressive time series models. Portmanteau tests for GINAR models
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