Effects of Explanatory Variables in Count Data Moving Average Models
AbstractThis note gives dynamic effects of discrete and continuous explanatory variables for count data or integer-valued moving average models. An illustration based on a model for the number of transactions in a stock is included.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Umeå University, Department of Economics in its series Umeå Economic Studies with number 679.
Length: 6 pages
Date of creation: 05 Apr 2006
Date of revision:
Contact details of provider:
Postal: Department of Economics, Umeå University, S-901 87 Umeå, Sweden
Phone: 090 - 786 61 42
Fax: 090 - 77 23 02
Web page: http://www.econ.umu.se/
More information through EDIRC
INMA model; Marginal effect; Intra-day; Financial data;
Find related papers by JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
This paper has been announced in the following NEP Reports:
- NEP-ALL-2006-04-22 (All new papers)
- NEP-ECM-2006-04-23 (Econometrics)
- NEP-ETS-2006-05-08 (Econometric Time Series)
- NEP-FIN-2006-04-22 (Finance)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Brännäs, Kurt & Quoreshi, Shahiduzzaman, 2004.
"Integer-Valued Moving Average Modelling of the Number of Transactions in Stocks,"
UmeÃ¥ Economic Studies
637, Umeå University, Department of Economics.
- Kurt Brannas & A. M. M. Shahiduzzaman Quoreshi, 2010. "Integer-valued moving average modelling of the number of transactions in stocks," Applied Financial Economics, Taylor & Francis Journals, vol. 20(18), pages 1429-1440.
- Brännäs, Kurt & Hellström, Jörgen & Nordström, Jonas, 1999.
"A New Approach to Modelling and Forecasting Monthly Guest Nights in Hotels,"
UmeÃ¥ Economic Studies
503, Umeå University, Department of Economics.
- Brannas, Kurt & Hellstrom, Jorgen & Nordstrom, Jonas, 2002. "A new approach to modelling and forecasting monthly guest nights in hotels," International Journal of Forecasting, Elsevier, vol. 18(1), pages 19-30.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Kjell-Göran Holmberg).
If references are entirely missing, you can add them using this form.