Conditional heteroskedasticity in count data regression:: Self-feeding activity in fish

被引：4

作者：

Brännäs, K ^{[1
]}

Brännäs, E

机构：

[1] Umea Univ, Dept Econ, SE-90187 Umea, Sweden

[2] Swedish Univ Agr Sci, Dept Aquaculture, S-75007 Uppsala, Sweden

[3] Umea Univ, USBE, SE-90187 Umea, Sweden

来源：

COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 2004年 / 33卷 / 11-12期

关键词：

Poisson; overdispersion; ARCH; estimation; self-feeding; Arctic charr;

D O I：

10.1081/STA-200037877

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

This 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 models. some well-known estimators are adapted, and a generalized method of moments (GMM) 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.

引用

页码：2745 / 2758

页数：14

共 14 条

[1]

BRANNAS E, 2003, IN PRESS ETHOLOGY

[2] TIME-SERIES COUNT DATA REGRESSION [J].