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Effects of Explanatory Variables in Count Data Moving Average Models

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Author Info
Brännäs, Kurt () (Department of Economics, Umeå University)
Lönnbark, Carl () (Department of Economics, Umeå University)

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Abstract

This 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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Publisher Info
Paper provided by Umeå University, Department of Economics in its series Umeå Economic Studies with number 679.

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Length: 6 pages
Date of creation: 05 Apr 2006
Date of revision:
Handle: RePEc:hhs:umnees:0679

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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
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Web page: http://www.econ.umu.se/
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Related research
Keywords: 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
C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models
G12 - Financial Economics - - General Financial Markets - - - Asset Pricing

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  1. 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. [Downloadable!] (restricted)
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This page was last updated on 2008-7-23.

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