Umeå Economic Studies Paper No. 679
6 Pages Posted: 13 Dec 2008 Last revised: 19 Oct 2009
Date Written: December 9, 2008
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, 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