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Simultaneity in the Multivariate Count Data Autoregressive Model

Author

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  • Brännäs, Kurt

    (Department of Economics, Umeå School of Business and Economics)

Abstract

This short paper proposes a simultaneous equations model formulation for time series of count data. Some of the basic moment properties of the model are obtained. The inclusion of real valued exogenous variables is suggested to be through the parameters of the model. Some remarks on the application of the model to spatial data are made. Instrumental variable and generalized method of moments estimators of the structural form parameters are also discussed.

Suggested Citation

  • Brännäs, Kurt, 2014. "Simultaneity in the Multivariate Count Data Autoregressive Model," Umeå Economic Studies 870, Umeå University, Department of Economics.
    • Handle: RePEc:hhs:umnees:0870
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    More about this item

    Keywords

    Integer-valued; Spatial; INAR; Interdependence; Properties; Estimation;
    All these keywords.

    JEL classification:

    • C35 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions
    • C36 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Instrumental Variables (IV) Estimation
    • C39 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Other
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

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