Scandinavian Working Papers in Economics

Umeå Economic Studies,
Umeå University, Department of Economics

No 595: Conditional Heteroskedasticity in Count Data Regression: Self-Feeding Activity in Fish

Kurt Brännäs () and Eva Brännäs ()
Additional contact information
Kurt Brännäs: Department of Economics, Umeå University, Postal: S 901 87 Umeå, Sweden
Eva Brännäs: Department of Aquaculture, Postal: Swedish University of Agricultural Sciences

Abstract: The paper introduces a new approach to incorporating time dependent overdispersion for Poisson related regression models. To handle the added flexibility in conditional heteroskedasticity in time series count data some wellknown estimators are adapted and a GMM type estimator is suggested. The estimators are applied to a time series of self-feeding activity in Arctic charr. There is strong support for both a dynamic conditional mean function and a dynamic model for the overdispersion.

Keywords: Poisson; Overdispersion; ARCH; Estimation; Self-Feeding; Arctic Charr

JEL-codes: C13; C22; C25; C25; C51

13 pages, November 21, 2002

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Published as
Kurt Brännäs and Eva Brännäs, (2004), 'Conditional Heteroskedasticity in Count Data Regression: Self-Feeding Activity in Fish', Communications in Statistics: Theory and Methods, vol 33, pages 2745-2758

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