Feasible parameter regions for alternative discrete state space models

This paper provides a comparison of a parameter-driven and an observation-driven discrete state space model. The two models are shown to have non-overlapping feasible regions for dispersion and first-order autocorrelation, with the region for the parameter-driven model being much larger than that of the observation-driven model, as well as providing a much better representation of the empirical moments of observed count series.

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Year of publication:	2008
Authors:	Feigin, Paul D. ; Gould, Phillip ; Martin, Gael M. ; Snyder, Ralph D.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 78.2008, 17, p. 2963-2970
Publisher:	Elsevier

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005313940