Effects of Explanatory Variables in Count Data Moving Average Models

Kurt Brännäs () and Carl Lönnbark

No 679, Umeå Economic Studies from Umeå University, Department of Economics

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 (search for similar items in EconPapers)
JEL-codes: C22 C25 G12 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-fin
Date: 2006-04-05
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