Simultaneity in the Multivariate Count Data Autoregressive Model

Kurt Brännäs ()

No 870, Umeå Economic Studies from Umeå University, Department of Economics

Abstract: This short paper proposes a simultaneous equations model formulation for time series of count data. Some of the basic moment properties of the model are obtained. The inclusion of real valued exogenous variables is suggested to be through the parameters of the model. Some remarks on the application of the model to spatial data are made. Instrumental variable and generalized method of moments estimators of the structural form parameters are also discussed.

Keywords: Integer-valued; Spatial; INAR; Interdependence; Properties; Estimation (search for similar items in EconPapers)
JEL-codes: C35 C36 C39 C51 (search for similar items in EconPapers)
Pages: 14 pages
Date: 2014-01-07
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-geo
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Persistent link: https://EconPapers.repec.org/RePEc:hhs:umnees:0870

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