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A Bayesian methodology for simultaneously detecting and estimating regime change points and variable selection in multiple regression models for marketing research

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Author Info
Duncan Fong ()
Wayne DeSarbo
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File URL: http://hdl.handle.net/10.1007/s11129-007-9030-8
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Article provided by Springer in its journal Quantitative Marketing and Economics.

Volume (Year): 5 (2007)
Issue (Month): 4 (December)
Pages: 427-453
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Handle: RePEc:kap:qmktec:v:5:y:2007:i:4:p:427-453

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Related research
Keywords: Change point models; Variable selection; Bayesian analysis; Multiple regression models; Promotion response modeling; C11; C13; C30; M31;

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  1. Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-84, March. [Downloadable!] (restricted)
  2. Kim, Chang-Jin, 1994. "Dynamic linear models with Markov-switching," Journal of Econometrics, Elsevier, vol. 60(1-2), pages 1-22. [Downloadable!] (restricted)
  3. Chib, Siddhartha, 1998. "Estimation and comparison of multiple change-point models," Journal of Econometrics, Elsevier, vol. 86(2), pages 221-241, June. [Downloadable!] (restricted)
  4. Ramya Neelamegham & Pradeep K. Chintagunta, 2004. "Modeling and Forecasting the Sales of Technology Products," Quantitative Marketing and Economics, Springer, vol. 2(3), pages 195-232, 09. [Downloadable!]
  5. Hamilton, James D., 1990. "Analysis of time series subject to changes in regime," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 39-70. [Downloadable!] (restricted)
  6. Goldfeld, Stephen M. & Quandt, Richard E., 1973. "A Markov model for switching regressions," Journal of Econometrics, Elsevier, vol. 1(1), pages 3-15, March. [Downloadable!] (restricted)
  7. Bass, Frank M & Parsons, Leonard J, 1969. "Simultaneous-Equation Regression Analysis of Sales and Advertising," Applied Economics, Taylor and Francis Journals, vol. 1(2), pages 103-24, May.
  8. Ploberger, Werner & Kramer, Walter & Kontrus, Karl, 1989. "A new test for structural stability in the linear regression model," Journal of Econometrics, Elsevier, vol. 40(2), pages 307-318, February. [Downloadable!] (restricted)
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