Generalized linear autoregressions

This paper develops a class of autoregressive and moving average models which extend the generalized linear model. Likelihood and quasi-likelihood estimation procedures are developed which allow the models to be easily estimated and tested. Several examples are given which illustrate the usefulness and simplicity of the approach advocated in this paper.

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Year of publication:	1995-02
Authors:	Shephard, Neil
Institutions:	Economics Group, Nuffield College, University of Oxford
Subject:	ARCH \| autoregression \| binomial \| categorical data \| count data \| diagnostic checking \| exponential family \| gamma \| generalized linear models \| martingale difference \| moving average \| overdispersion \| poisson

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Extent:	application/postscript
Series:	Economics Papers.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series W Number 8.
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005730355