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

Kurt Brannas

University of Umea - Department of Economics

Carl Lönnbark

University of Umea; Swedbank

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, 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

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 )

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

Swedbank ( email )

SE-105 34 Stockholm
Sweden

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