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Effects of Explanatory Variables in Count Data Moving Average Models


Kurt Brannas


University of Umea - Department of Economics

Carl Lönnbark


University of Umea; Swedbank
December 9, 2008

Umeå Economic Studies Paper No. 679

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.

Number of Pages in PDF File: 6

Keywords: INMA model, Marginal effect, Intra-day, Financial data

JEL Classification: C22, C25, G12

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Date posted: December 13, 2008 ; Last revised: October 19, 2009

Suggested Citation

Brannas, Kurt 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: http://ssrn.com/abstract=1313842 or http://dx.doi.org/10.2139/ssrn.1313842

Contact Information

Kurt Brannas
University of Umea - 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)
University of Umea ( email )
Umeå, SE 901 87
Sweden
Swedbank ( email )
SE-105 34 Stockholm
Sweden
Feedback to SSRN (Beta)


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