Fokianos, Konstantinos; Rahbek, Anders; Tjøstheim, Dag - Økonomisk Institut, Københavns Universitet - 2008
generalized linear model for time series of
counts but with an identity link–that is a non canonical link function.
The second … far as the asymptotic distribution of the parameter
estimates is concerned.
Keywords: generalized linear models, non-canonical … link function, count data, Poisson regression, likeli-
hood, geometric ergodicity, integer GARCH, `-irreducibility …