On causality test for time series of counts based on poisson ingarch models with application to crime and temperature data. Issue 6 (3rd July 2019)

• Record Type: Journal Article
• Authors: Lee, Youngmi; Lee, Sangyeol
• Is Part Of: Communications in statistics. Volume 48:Issue 6(2019)
• Page Start: 1901
• Page End: 1911
• Publication Date: 2019-07-03
• Subjects: Causality test -- Time series of counts -- Poisson INGARCH model; Mathematical statistics -- Periodicals; Mathematical statistics -- Data processing -- Periodicals; Digital computer simulation -- Periodicals; 519.5
• DOI: 10.1080/03610918.2018.1429618
• Languages: English
• ISSNs: 0361-0918

Abstract

ABSTRACT: In this study, we consider the causality test for the integer-valued time series. Using the mean equation of Poisson INGARCH models, we construct a regression that includes exogenous variables. The test is then constructed based on the least squares estimator and is shown to follow a chi-square distribution under the null of no causal relationships. A simulation study and real data analysis using the crime and temperature data in Chicago are provided for illustration.