Checking Model Adequacy for Count Time Series by Using Pearson Residuals

  • 1 Helmut Schmidt Universitat Fakultat fur Wirtschafts- und Sozialwissenschaften, 22043, Hamburg, Germany
Christian WeißORCID iD: https://orcid.org/0000-0001-8739-6631, Lukas Scherer
  • Helmut Schmidt Universitat Fakultat fur Wirtschafts- und Sozialwissenschaften, Hamburg, 22043, Germany
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, Boris Aleksandrov
  • Helmut Schmidt Universitat Fakultat fur Wirtschafts- und Sozialwissenschaften, Hamburg, 22043, Germany
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and Martin Feld
  • Helmut Schmidt Universitat Fakultat fur Wirtschafts- und Sozialwissenschaften, Hamburg, 22043, Germany
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Abstract

After having fitted a model to a given count time series, one has to check the adequacy of this model fit. The (standardized) Pearson residuals, being easy to compute and interpret, are a popular diagnostic approach for this purpose. But which types of model inadequacy might be uncovered by which statistics based on the Pearson residuals? In view of being able to apply such statistics in practice, it is also crucial to ask for the properties of these statistics under model adequacy. We look for answers to these questions by means of a comprehensive simulation study, which considers diverse types of count time series models and inadequacy scenarios. We illustrate our findings with two real-data examples about strikes in the U.S., and about corporate insolvencies in the districts of Rhineland–Palatinate. We conclude with a theoretical discussion of Pearson residuals.

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The Journal of Time Series Econometrics (JTSE) serves as an internationally recognized outlet for important new research in both theoretical and applied classical and Bayesian time series, spatial and panel data econometrics. The scope of the journal includes papers dealing with estimation, testing and other methodological aspects involved in the application of time series and spatial analytic techniques to economic, financial and related data.

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