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The Asymmetric Count Data Moving Average Model

Author

Listed:
  • Brännäs, Kurt

    (Department of Economics, Umeå University)

Abstract

This note defines the asymmetric count data, first order moving average model and gives some of its basic properties. A brief account of conditional least squares estimation of unknown parameters is also given.

Suggested Citation

  • Brännäs, Kurt, 2012. "The Asymmetric Count Data Moving Average Model," Umeå Economic Studies 841, Umeå University, Department of Economics.
    • Handle: RePEc:hhs:umnees:0841
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    More about this item

    Keywords

    Moments; Dual autoregression; Invertibility; Nonlinear; Least squares estimation;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

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