Specifications tests for count time series models with covariates

Šárka Hudecová; Marie Hušková; Simos G. Meintanis

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arXiv · 2310.10331

Specifications tests for count time series models with covariates

Šárka Hudecová·Marie Hušková·Simos G. Meintanis

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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 $L_2$ 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.

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BibTeX RIS

Šárka Hudecová, Marie Hušková, Simos G. Meintanis. 2023-10-16. Specifications tests for count time series models with covariates. https://arxiv.org/abs/2310.10331

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