Friday 22 November 2019, 1.00PM to - 2.00 pm
Speaker(s): Chris Skeels (University of Melbourne)
Host: Econometric Theory Cluster
Abstract: The Poisson regression model remains an important tool in the econometric analysis of count data. In a pioneering contribution to the econometric analysis of such models, Lee (1986) presented a specification test for a Poisson model against a broad class of discrete distributions sometimes called the Katz family. Two members of this alternative class are the binomial and negative binomial distributions, which are commonly used with count data to allow for under- and overdispersion, respectively. In this paper we explore the structure of other distributions within the class and their suitability as alternatives to the Poisson model. Potential difficulties with the Katz likelihood leads us to investigate a class of point optimal tests of the Poisson assumption against the alternative of overdispersion in both the regression and intercept only cases. In a simulation study, we compare score tests of `Poisson-ness' with various point optimal tests, based on the Katz family, and conclude that it is possible to choose a point optimal test which is better in the intercept only case and certainly no worse in the regression scenario. If time permits we will also explore a device to aid choice of optimal `point’.
1:1 MEETING : CLICK HERE TO BOOK
Location: A/D271 Staff Room
Admission: All welcome