Effects of Explanatory Variables in Count Data Moving Average Models
University of Umea - Department of Economics
University of Umea; Swedbank
December 9, 2008
Umeå Economic Studies Paper No. 679
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.
Number of Pages in PDF File: 6
Keywords: INMA model, Marginal effect, Intra-day, Financial data
JEL Classification: C22, C25, G12working papers series
Date posted: December 13, 2008 ; Last revised: October 19, 2009
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