Time series of count data: modeling, estimation and diagnostics

Authors:
Robert C. Jung;Martin Kukuk;Roman Liesenfeld
Affiliations:
Eberhard-Karls Universität Tübingen, Mohlstr. 36, D-72074 Tübingen, Germany;Julius-Maximilians-Universität Würzburg, Germany;Christian-Albrechts-Universität Kiel, Germany
Venue:
Computational Statistics & Data Analysis
Year:
2006

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Abstract

Various models for time series of counts which can account for discreteness, overdispersion and serial correlation are compared. Besides observation- and parameter-driven models based upon corresponding conditional Poisson distributions, a dynamic ordered probit model as a flexible specification to capture the salient features of time series of counts is also considered. For all models, appropriate efficient estimation procedures are presented. For the parameter-driven specification this requires Monte-Carlo procedures like simulated maximum likelihood or Markov chain Monte Carlo. The methods, including corresponding diagnostic tests, are illustrated using data on daily admissions for asthma to a single hospital. Estimation results turn out to be remarkably similar across the different models.