Specifications tests for count time series models with covariates

• Šárka Hudecová ^[1] ; Marie Hušková ^[1] ; Simos G. Meintanis ^[2]
  1. [1] Charles University in Prague

     Charles University in Prague

     Chequia

     
  2. [2] National and Kapodistrian University of Athens

     National and Kapodistrian University of Athens

     Dimos Athens, Grecia

     
• Localización: Test: An Official Journal of the Spanish Society of Statistics and Operations Research, ISSN-e 1863-8260, ISSN 1133-0686, Vol. 33, Nº. 4, 2024, págs. 1014-1040
• Idioma: inglés
• DOI: 10.1007/s11749-024-00933-x
• Texto completo no disponible (Saber más ...)
• Resumen

  • 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.