Specifications tests for count time series models with covariates
Methodology
2023-10-17 v1
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 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.
Cite
@article{arxiv.2310.10331,
title = {Specifications tests for count time series models with covariates},
author = {Šárka Hudecová and Marie Hušková and Simos G. Meintanis},
journal= {arXiv preprint arXiv:2310.10331},
year = {2023}
}