A Classification of Observation-Driven State-Space Count Models for Panel Data
面板数据观测驱动状态空间计数模型的分类
State-space models are widely used in many applications. In the domain of count data, one such example is the model proposed by Harvey and Fernandes (1989). Unlike many of its parameter-driven alternatives, this model is observation-driven, leading to closed-form expressions for the predictive density. In this paper, we demonstrate the need to extend the model of Harvey and Fernandes (1989) by showing that their model is not variance stationary. Our extension can accommodate…