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| David E Giles |
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| ''Hermite regression analysis of multi-modal count data'' |
| ( 2010, Vol. 30 No.4 ) |
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| We discuss the modeling of count data whose empirical distribution is both multi-modal and over-dispersed, and propose the Hermite distribution with covariates introduced through the conditional mean. The model is readily estimated by maximum likelihood, and nests the Poisson model as a special case. The Hermite regression model is applied to data for the number of banking and currency crises in IMF-member countries, and is found to out-perform the Poisson and negative binomial models.
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| Keywords: Count data, multi-modal data, over-dispersion, financial crises |
JEL: C4 - Econometric and Statistical Methods: Special Topics
C2 - Single Equation Models; Single Variables: General |
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| Manuscript Received : Aug 19 2010 | | Manuscript Accepted : Nov 09 2010 |
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