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Simultaneity in the Multivariate Count Data Autoregressive Model
Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Economics.
2013 (English)Report (Other academic)
Abstract [en]

This short paper proposes a simultaneous equations model formulation for time seriesof 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 parametersof the model. Some remarks on the application of the model to spatial dataare made. Instrumental variable and generalized method of moments estimators ofthe structural form parameters are also discussed.

Place, publisher, year, edition, pages
Umeå: Umeå universitet , 2013. , 13 p.
Umeå economic studies, ISSN 0348-1018 ; 870
Keyword [en]
Integer-valued, Spatial, INAR, Interdependence, Properties, Estimation
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Research subject
URN: urn:nbn:se:umu:diva-99680OAI: diva2:787620
Available from: 2015-02-11 Created: 2015-02-11 Last updated: 2016-04-01Bibliographically approved

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Brännäs, Kurt
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