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Effects of Explanatory Variables in Count Data Moving Average Models

Author

Listed:
  • Brännäs, Kurt

    (Department of Economics, Umeå University)

  • Lönnbark, Carl

    (Department of Economics, Umeå University)

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.

Suggested Citation

  • Brännäs, Kurt & Lönnbark, Carl, 2006. "Effects of Explanatory Variables in Count Data Moving Average Models," Umeå Economic Studies 679, Umeå University, Department of Economics.
    • Handle: RePEc:hhs:umnees:0679
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    References listed on IDEAS

    as
    1. Kurt Brannas & A. M. M. Shahiduzzaman Quoreshi, 2010. "Integer-valued moving average modelling of the number of transactions in stocks," Applied Financial Economics, Taylor & Francis Journals, vol. 20(18), pages 1429-1440.
    2. Brannas, Kurt & Hellstrom, Jorgen & Nordstrom, Jonas, 2002. "A new approach to modelling and forecasting monthly guest nights in hotels," International Journal of Forecasting, Elsevier, vol. 18(1), pages 19-30.
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    More about this item

    Keywords

    INMA model; Marginal effect; Intra-day; Financial data;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C25 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Discrete Regression and Qualitative Choice Models; Discrete Regressors; Proportions; Probabilities
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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