Starting from a day-to-day model on hotel specific guest nights we obtain an integer-valued moving average model by cross-sectional and temporal aggregation. The two parameters of the aggregate model reflect the daily mean check-in and the daily check-out probability. Letting the parameters be...

Plants' entry and exit behaviour in Swedish municipalities are studied within a fixed-effect, integer-valued autoregressive model. Based on eight industrial sectors, 1985--1993, and all municipalities, models are estimated by a generalized method of moment estimator. Influences on entry and exit...

The paper discusses some model related issues for time series of the number of shareholders in a stock. The point of departure is an integer-valued autoregressive model of order one. Empirical results are presented for some frequently traded stocks on the Finnish and Swedish stock markets. In...

This note defines the asymmetric count data, first order moving average model and gives some of its basic properties. A brief account of conditional least squares estimation of unknown parameters is also given.

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...

The paper proposes two estimation approaches for duration models that are subject to right censored observations and selection effects. Main focus is on accelerated duration models and the estimators are of the limited information type, i.e. they are not based on a fully specified selection...

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.

The integer-valued AR(1) model is generalized to encompass some of the more likely features of economic time series of count data. The generalizations come at the price of loosing exact distributional properties. For most specifications the first and second order both conditional and...

The paper suggests a nonlinear and multivariate time series model framework that enables the study of simultaneity in returns and in volatilities, as well as asymmetric effects arising from shocks and an outside stock exchange. Using daily data 2000-2006 for the Baltic state stock exchanges and...