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.
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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:
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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-2006-04-22 (Econometrics)
- NEP-ETS-2006-04-22 (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.:
- BrÃ¤nnÃ¤s, Kurt & Quoreshi, Shahiduzzaman, 2004.
"Integer-Valued Moving Average Modelling of the Number of Transactions in Stocks,"
UmeÃ¥ Economic Studies
637, UmeÃ¥ 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, Taylor & Francis Journals, vol. 20(18), pages 1429-1440.
- BrÃ¤nnÃ¤s, Kurt & HellstrÃ¶m, JÃ¶rgen & NordstrÃ¶m, Jonas, 1999.
"A New Approach to Modelling and Forecasting Monthly Guest Nights in Hotels,"
UmeÃ¥ Economic Studies
503, UmeÃ¥ 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, Elsevier, vol. 18(1), pages 19-30.
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