Agosto, Arianna; Cavaliere, Giuseppe; Kristensen, Dennis; … - School of Economics and Management, University of Aarhus - 2015
We develop a class of Poisson autoregressive models with additional covariates (PARX) that can be used to model and forecast time series of counts. We establish the time series properties of the models, including conditions for stationarity and existence of moments. These results are in turn...