Effects of Explanatory Variables in Count Data Moving Average Models
Umeå Economic Studies Paper No. 679
6 Pages Posted: 13 Dec 2008 Last revised: 19 Oct 2009
Date Written: December 9, 2008
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 Classification: C22, C25, G12
Suggested Citation: Suggested Citation
Brannas, Kurt and Lönnbark, Carl and Lönnbark, Carl, Effects of Explanatory Variables in Count Data Moving Average Models (December 9, 2008). Umeå Economic Studies Paper No. 679, Available at SSRN: https://ssrn.com/abstract=1313842 or http://dx.doi.org/10.2139/ssrn.1313842
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