Author:
Hudecová Šárka,Hušková Marie,Meintanis Simos G.
Abstract
AbstractWe 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 $$L_2$$
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.
Publisher
Springer Science and Business Media LLC