Scandinavian Working Papers in Economics

Umeå Economic Studies,
Umeå University, Department of Economics

No 679: Effects of Explanatory Variables in Count Data Moving Average Models

Kurt Brännäs () and Carl Lönnbark ()
Additional contact information
Kurt Brännäs: Department of Economics, Umeå University, Postal: S 901 87 Umeå, Sweden
Carl Lönnbark: Department of Economics, Umeå University, Postal: S 901 87 Umeå, Sweden

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.

Keywords: INMA model; Marginal effect; Intra-day; Financial data

JEL-codes: C22; C25; G12

6 pages, April 5, 2006

Full text files 

DownloadAsset.action...Id=3&assetKey=ues679 PDF-file

Download statistics

Questions (including download problems) about the papers in this series should be directed to David Skog ()
Report other problems with accessing this service to Sune Karlsson ().

This page generated on 2024-02-05 17:13:51.