JSM 2003 Online Program

Abstract #300190

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Activity Number:	84
Type:	Contributed
Date/Time:	Monday, August 4, 2003 : 8:30 AM to 10:20 AM
Sponsor:	Business & Economics Statistics Section
Abstract - #300190
Title:	Conditional Variance in Count Data Regression
Author(s):	Kurt Brannas*+
Companies:	Umea University
Address:	Dept. of Economics, Umea, SE-90187, Sweden
Keywords:	Poisson ; overdispersion ; ARCH ; estimation ; self-feeding
Abstract:	The paper introduces a new approach to incorporating time-dependent overdispersion for Poisson-related regression models. To handle the added flexibility in conditional variance or heteroscedasticity in time series count data some well-known estimators are adapted and a GMM estimator is suggested. The estimators are applied to a time series of self-feeding activity in Arctic Charr. There is strong support for both a dynamic conditional mean function and a dynamic model for the overdispersion.

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