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

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