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Outlier robust analysis of long-run marketing effects for weekly scanning data

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  • Franses, Philip Hans
  • Kloek, Teun
  • Lucas, Andre

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File URL: http://www.sciencedirect.com/science/article/B6VC0-3V5MSFR-T/2/4a4d68f28956cc24e76611477cafdf64
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Bibliographic Info

Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 89 (1998)
Issue (Month): 1-2 (November)
Pages: 293-315

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Handle: RePEc:eee:econom:v:89:y:1998:i:1-2:p:293-315

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Web page: http://www.elsevier.com/locate/jeconom

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References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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  1. Robert C. Blattberg & Richard Briesch & Edward J. Fox, 1995. "How Promotions Work," Marketing Science, INFORMS, vol. 14(3_supplem), pages G122-G132.
  2. Hoek, Henk & Lucas, Andre & van Dijk, Herman K., 1995. "Classical and Bayesian aspects of robust unit root inference," Journal of Econometrics, Elsevier, vol. 69(1), pages 27-59, September.
  3. Marnik G. Dekimpe & Dominique M. Hanssens, 1995. "The Persistence of Marketing Effects on Sales," Marketing Science, INFORMS, vol. 14(1), pages 1-21.
  4. Lucas, André, 1997. "Cointegration Testing Using Pseudolikelihood Ratio Tests," Econometric Theory, Cambridge University Press, vol. 13(02), pages 149-169, April.
  5. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-80, November.
  6. Park, Joon Y. & Phillips, Peter C.B., 1989. "Statistical Inference in Regressions with Integrated Processes: Part 2," Econometric Theory, Cambridge University Press, vol. 5(01), pages 95-131, April.
  7. Franses, Philip Hans & Haldrup, Niels, 1994. "The Effects of Additive Outliers on Tests for Unit Roots and Cointegration," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(4), pages 471-78, October.
  8. Vogelsang, T.I. & Perron, P., 1991. "Nonstationary and Level Shifts With An Application To Purchasing Power Parity," Papers 359, Princeton, Department of Economics - Econometric Research Program.
  9. GONZALO, Jesus & PITARAKIS, Jean-Yves, 1994. "Comovements in Large Systems," CORE Discussion Papers 1994065, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  10. Hansen, Bruce E., 1995. "Rethinking the Univariate Approach to Unit Root Testing: Using Covariates to Increase Power," Econometric Theory, Cambridge University Press, vol. 11(05), pages 1148-1171, October.
  11. Franses, Philip Hans & Lucas, Andre, 1998. "Outlier Detection in Cointegration Analysis," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(4), pages 459-68, October.
  12. Robert P. Leone, 1995. "Generalizing What Is Known About Temporal Aggregation and Advertising Carryover," Marketing Science, INFORMS, vol. 14(3_supplem), pages G141-G150.
  13. Gourieroux, Christian & Monfort, Alain & Trognon, Alain, 1984. "Pseudo Maximum Likelihood Methods: Theory," Econometrica, Econometric Society, vol. 52(3), pages 681-700, May.
  14. Kleibergen, Frank & van Dijk, Herman K., 1994. "Direct cointegration testing in error correction models," Journal of Econometrics, Elsevier, vol. 63(1), pages 61-103, July.
  15. Phillips, Peter C B, 1995. "Fully Modified Least Squares and Vector Autoregression," Econometrica, Econometric Society, vol. 63(5), pages 1023-78, September.
  16. Andre Lucas, 1998. "Inference on cointegrating ranks using lr and lm tests based on pseudo-likelihoods," Econometric Reviews, Taylor & Francis Journals, vol. 17(2), pages 185-214.
  17. repec:fth:erroem:9646/a is not listed on IDEAS
  18. Paul Farris & James Olver & Cornelis De Kluyver, 1989. "The Relationship Between Distribution and Market Share," Marketing Science, INFORMS, vol. 8(2), pages 107-128.
  19. Peter C.B. Phillips & Joon Y. Park, 1986. "Statistical Inference in Regressions with Integrated Processes: Part 1," Cowles Foundation Discussion Papers 811R, Cowles Foundation for Research in Economics, Yale University, revised Aug 1987.
  20. White, Halbert, 1982. "Maximum Likelihood Estimation of Misspecified Models," Econometrica, Econometric Society, vol. 50(1), pages 1-25, January.
  21. Dekimpe, M.G. & Hanssens, D., 1995. "The persistence of marketing effects on sales," Open Access publications from Tilburg University urn:nbn:nl:ui:12-358916, Tilburg University.
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Citations

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Cited by:
  1. H. Peter Boswijk & Andre Lucas & Nick Taylor, 1999. "A Comparison of Parametric, Semi-nonparametric, Adaptive, and Nonparametric Cointegration Tests," Tinbergen Institute Discussion Papers 99-012/4, Tinbergen Institute.
  2. H. Peter Boswijk & Andre Lucas & Nick Taylor, 1999. "A Comparison of Parametric, Semi-nonparametric, Adaptive, and Nonparametric Cointegration Tests," Tinbergen Institute Discussion Papers 99-012/4, Tinbergen Institute.
  3. Cizek, P., 2006. "Efficient Robust Estimation of Regression Models (Replaced by DP 2007-87)," Discussion Paper 2006-8, Tilburg University, Center for Economic Research.
  4. Lemmens, A. & Croux, C. & Dekimpe, M.G., 2007. "Consumer confidence in Europe: United in diversity," Open Access publications from Tilburg University urn:nbn:nl:ui:12-194296, Tilburg University.
  5. Boswijk, H. Peter & Lucas, Andr‚ & Taylor, Nick, 1998. "A comparison of parametric, semi-nonparametric, adaptive and nonparametric tests," Serie Research Memoranda 0062, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
  6. Pavel Cizek & Wolfgang Härdle, 2006. "Robust Econometrics," SFB 649 Discussion Papers SFB649DP2006-050, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  7. Trost, Robert & Silk, Julian, 2003. "Quantitative Models in Marketing Research,: Philip Hans Franses and Richard Paap (Eds.), Cambridge University Press, Cambridge, UK. (2001), 206 pp. - ISBN 0-521-80166-4, [UK pound]30.00," International Journal of Forecasting, Elsevier, vol. 19(3), pages 535-538.
  8. Panayiotis Andreou & Chris Charalambous & Spiros Martzoukos, 2006. "Robust Artificial Neural Networks for Pricing of European Options," Computational Economics, Society for Computational Economics, vol. 27(2), pages 329-351, May.
  9. repec:dgr:uvatin:2099012 is not listed on IDEAS

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