Goodness–of–Fit Tests for Bivariate Time Series of Counts

Goodness–of–Fit Tests for Bivariate Time Series of Counts

This article considers goodness-of-fit tests for bivariate INAR and bivariate Poisson autoregression models. The test statistics are based on an L2-type distance between two estimators of the probability generating function of the observations: one being entirely nonparametric and the second one bei...

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Bibliographic Details
Main Authors: Šárka Hudecová, Marie Hušková, Simos G. Meintanis
Format: Article
Language:English
Published: MDPI AG 2021-03-01
Series:Econometrics
Subjects:
goodness-of-fit
bivariate time series
probability generating function
time series of counts
Online Access:https://www.mdpi.com/2225-1146/9/1/10

Internet

https://www.mdpi.com/2225-1146/9/1/10

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