Scandinavian Working Papers in Economics

Umeå Economic Studies,
Umeå University, Department of Economics

No 870: Simultaneity in the Multivariate Count Data Autoregressive Model

Kurt Brännäs ()
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Kurt Brännäs: Department of Economics, Umeå School of Business and Economics, Postal: Umeå University, S 901 87 Umeå, Sweden

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.

Keywords: Integer-valued; Spatial; INAR; Interdependence; Properties; Estimation

JEL-codes: C35; C36; C39; C51

14 pages, January 7, 2014

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