Market Response Models: Econometric and Time Series Analysis
This book reports over a decade's worth of research on the development of empirical response models that have important uses for generating marketing knowledge and improving marketing decisions. Some of its contributions to marketing are the following: 1.
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International Series in Quantitative Marketing
Editor: Jehoshua Eliashberg The Wharton School University of Pennsylvania Philadelphia, Pennsylvania, U.S.A. Previously published books in the series:
L. Cooper and M. Nakanishi: Market Share Analysis
Market Response Models: Econometric and Time Series Analysis
Dominique M. Hanssens University of California, Los Angeles Leonard J. Parsons Georgia Institute of Technology Randall L. Schultz University of Iowa
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Kluwer Academic Publishers Boston/Dordrecht/London
Distributors for North America: Kluwer Academic Publishers 101 Philip Drive. Assinippi Park. Norwell. MA 02061 U.S A for all other countries: Kluwer Academic Publishers Group. Distribution Centre. P.O. Box 322. 3300 AH Dordrecht. The Netherlands
Library of Congress Cataloging-in-Publication Data Hanssens. Dominique M. Market response models: econometric and time series analysis( Dominique M. Hanssens. Leonard J. Parsons. Randall L. Schultz. p. cm.-(International series in quantitative marketing) Bibliography: p. Incl udes index. ISBN -13: 978-94-010-6972-4 e-ISBN-13: 978-94-009-0137-7 DOl: 10.1007/978-94-009-0137-7
1. Marketing surveys-Econometric models. 2. Sales forecasting-Econometric models. 3. Time series analysis. I. Parsons. Leonard J. II. Schultz. Randall L. III. Title. IV. Series. HF54153.H36 1989 658.8'3'028-dc19 89-2670 CIP Copyright Second Printing 1992. Fifth Printing 1998.
© 1990 by Kluwer Academic
Publishers. Softcover reprint of the hardcover 1st edition 1990
All rights reserved. No part of this publication may be reproduced. stored in a retrieval system. or transmitted in any form or by any means. meChanical. photocopying. recording. or otherwise. without the prior written permission of the publisher. Kluwer Academic Publishers. 101 Philip Drive. Assinippi Park. Norwell. MA 02061.
To the memory of Dr. and Mrs. Germain Hanssens. D.M.H. To Margaret and Robert Grieve, and Marion and Leonard Parsons, in honor of their 50th wedding anniversaries. L.J.P. To Irene K. Schultz and the memory of Robert L. Schultz. R.L.S.
Contents
Preface Acknowledgments
xi xii
I. Introduction 1. Response Models in Marketing Modeling marketing systems Empirical response models Modeling approaches Marketing models and management Planning and forecasting The ETS method Summary II. Econometric and Time Series Model Building 2. Design of Response Models Variables Relations among variables Functional forms Data Marketing models and prior knowledge 3. Parameter Estimation and Model Testing Model section Estimation Testing Summary 4. Determining Functional Form and Lag Structure Specifying functional form Lag specification in the univariate case
3
4 8
11 13
17 22 24
27 29
30
35 37 61 71
75
76 85
93
107 109 110 113
viii
CONTENTS
Dealing with nonstationarity Parameter estimation Forecasting Lag specification with multiple time series Summary
5. Determining Causal Ordering Causal relations Modeling when only the information set is known The relation between structural and time series models The
