Fokianos, Konstantinos; Rahbek, Anders; Tjøstheim, Dag - School of Economics and Management, University of Aarhus - 2009
, non-
canonical link function, observation driven models, Poisson regression, `-irreducibility.
JEL classification: C51, C … (1) is composed by the unobserved process ‚t, the linear
model still belongs to the class of observation driven models as … observed process Yt, after repeated
substitution. Observation driven models for time series of counts have been studied by …