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

See all articles by Kurt Brannas

Kurt Brannas

Umeå University - Department of Economics

Carl Lönnbark

Swedbank; Umeå University

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

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

Kurt Brannas

Umeå University - Department of Economics ( email )

Umea University
Department of Economics
SE-90187 Umea
Sweden
+46-90-786 6101 (Phone)
+46-90-772302 (Fax)

Carl Lönnbark (Contact Author)

Swedbank ( email )

SE-105 34 Stockholm
Sweden

Umeå University ( email )

Samhallsvetarhuset, Plan 2
Umea University
Umeå, SE 901 87
Sweden

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