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Using cointegration analysis for modeling marketing interactions in dynamic environments: methodological issues and an empirical illustration

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  • Grewal, Rajdeep
  • Mills, Jeffrey A.
  • Mehta, Raj
  • Mujumdar, Sudesh
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Business Research.

    Volume (Year): 51 (2001)
    Issue (Month): 2 (February)
    Pages: 127-144

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    Handle: RePEc:eee:jbrese:v:51:y:2001:i:2:p:127-144

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    References

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    1. Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
    2. Frank M. Bass, 1995. "Empirical Generalizations and Marketing Science: A Personal View," Marketing Science, INFORMS, vol. 14(3_supplem), pages G6-G19.
    3. P. E. Caines & S. P. Sethi & T. W. Brotherton, 1977. "Impulse Response Identification and Causality Detection for the Lydia-Pinkham Data," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 6, number 2, pages 147-163 National Bureau of Economic Research, Inc.
    4. Marnik G. Dekimpe & Dominique M. Hanssens, 1995. "Empirical Generalizations About Market Evolution and Stationarity," Marketing Science, INFORMS, vol. 14(3_supplem), pages G109-G121.
    5. Beard, Fred, 1996. "Integrated marketing communications: New role expectations and performance issues in the client-ad agency relationship," Journal of Business Research, Elsevier, vol. 37(3), pages 207-215, November.
    6. Frank M. Bass & Jerry Wind, 1995. "Introduction to the Special Issue: Empirical Generalizations in Marketing," Marketing Science, INFORMS, vol. 14(3_supplem), pages G1-G5.
    7. Yamada, H. & Toda, H.Y., 1996. "Inference in Possibly Integrated Vector Autoregressive Models: Finite Sample Evidence," ISER Discussion Paper 0417, Institute of Social and Economic Research, Osaka University.
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    9. Winer, Russell S, 1979. "An Analysis of the Time-varying Effects of Advertising: The Case of Lydia Pinkham," The Journal of Business, University of Chicago Press, vol. 52(4), pages 563-76, October.
    10. Robert P. Leone, 1995. "Generalizing What Is Known About Temporal Aggregation and Advertising Carryover," Marketing Science, INFORMS, vol. 14(3_supplem), pages G141-G150.
    11. Vincent P. Carroll & Ambar G. Rao & Hau L. Lee & Arthur Shapiro & Barry L. Bayus, 1985. "The Navy Enlistment Marketing Experiment," Marketing Science, INFORMS, vol. 4(4), pages 352-374.
    12. Toda, Hiro Y., 1995. "Finite Sample Performance of Likelihood Ratio Tests for Cointegrating Ranks in Vector Autoregressions," Econometric Theory, Cambridge University Press, vol. 11(05), pages 1015-1032, October.
    13. Granger, C. W. J., 1981. "Some properties of time series data and their use in econometric model specification," Journal of Econometrics, Elsevier, vol. 16(1), pages 121-130, May.
    14. Peter C.B. Phillips, 1993. "Fully Modified Least Squares and Vector Autoregression," Cowles Foundation Discussion Papers 1047, Cowles Foundation for Research in Economics, Yale University.
    15. Wesley A. Magat & John M. McCann & Richard C. Morey, 1986. "When Does Lag Structure Really Matter in Optimizing Advertising Expenditures?," Management Science, INFORMS, vol. 32(2), pages 182-193, February.
    16. Perron, P, 1988. "The Great Crash, The Oil Price Shock And The Unit Root Hypothesis," Papers 338, Princeton, Department of Economics - Econometric Research Program.
    17. Toda, Hiro Y & Phillips, Peter C B, 1993. "Vector Autoregressions and Causality," Econometrica, Econometric Society, vol. 61(6), pages 1367-93, November.
    18. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
    19. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
    20. Weiss, Doyle L & Houston, Franklin S & Windal, Pierre, 1978. "The Periodic Pain of Lydia E. Pinkham," The Journal of Business, University of Chicago Press, vol. 51(1), pages 91-101, January.
    21. Kumar, V. & Leone, Robert P. & Gaskins, John N., 1995. "Aggregate and disaggregate sector forecasting using consumer confidence measures," International Journal of Forecasting, Elsevier, vol. 11(3), pages 361-377, September.
    22. Hutton, James G., 1996. "Integrated marketing communications and the evolution of marketing thought," Journal of Business Research, Elsevier, vol. 37(3), pages 155-162, November.
    23. Wildt, Albert R & Winer, Russell S, 1983. "Modeling and Estimation in Changing Market Environments," The Journal of Business, University of Chicago Press, vol. 56(3), pages 365-88, July.
    24. Baghestani, Hamid, 1991. "Cointegration Analysis of the Advertising-Sales Relationship," Journal of Industrial Economics, Wiley Blackwell, vol. 39(6), pages 671-81, December.
    25. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-72, June.
    26. 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.
    27. Dickey, David A & Pantula, Sastry G, 1987. "Determining the Ordering of Differencing in Autoregressive Processes," Journal of Business & Economic Statistics, American Statistical Association, vol. 5(4), pages 455-61, October.
    28. Marnik G. Dekimpe & Dominique M. Hanssens, 1995. "The Persistence of Marketing Effects on Sales," Marketing Science, INFORMS, vol. 14(1), pages 1-21.
    29. Jagpal, Harsharanjeet S & Sudit, Ephraim F & Vinod, Hrishikesh D, 1982. "Measuring Dynamic Marketing Mix Interactions Using Translog Functions," The Journal of Business, University of Chicago Press, vol. 55(3), pages 401-15, July.
    30. Granger, C. W. J. & Newbold, P., 1974. "Spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 2(2), pages 111-120, July.
    31. Leonard J. Parsons, 1974. "An Econometric Analysis of Advertising, Retail Availability, and Sales of a New Brand," Management Science, INFORMS, vol. 20(6), pages 938-947, February.
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    Cited by:
    1. Horváth, C. & Franses, Ph.H.B.F., 2003. "Deriving dynamic marketing effectiveness from econometric time series models," ERIM Report Series Research in Management ERS-2003-079-MKT, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
    2. Chen, Mei-ping & Lee, Chien-Chiang & Hsu, Yi-Chung, 2011. "The impact of American depositary receipts on the Japanese index: Do industry effect and size effect matter?," Economic Modelling, Elsevier, vol. 28(1), pages 526-539.

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