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Forecasting market shares using VAR and BVAR models: A comparison of their forecasting performance

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  • Francisco F. R. Ramos

    (Faculty of Economics, University of Porto, Portugal)

Abstract

This paper develops a Bayesian vector autoregressive model(BVAR) for the leader of the Portuguese car market to forecast the market share. The model includes five marketing decision variables.The Bayesian prior is selected on the basis of the accuracy of the out-of-sample forecasts. We find that our BVAR models generally produce more accurate forecasts of market share. The out-of-sample accuracy of the BVAR forecasts is also compared with that of forecasts from an unrestricted VAR model and of benchmark forecasts produced from univariate (e.g., Box-Jenkins ARIMA) models. Additionally, competitive dynamics of the market place are revealed through variance decompositions and impulse response analysis.

Suggested Citation

  • Francisco F. R. Ramos, 1996. "Forecasting market shares using VAR and BVAR models: A comparison of their forecasting performance," Econometrics 9601003, University Library of Munich, Germany.
    • Handle: RePEc:wpa:wuwpem:9601003
    Note: Type of Document - Winword 2.0; prepared on IBM PC ; to print on HP/Epson; pages: 41 ; figures: included. Word for Windows document submitted by ftp
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    References listed on IDEAS

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    More about this item

    Keywords

    Automobile market; BVAR models; Forecast accuracy; Impulse response analysis; Marketing decision variables; Specification of marketing priors; variance decomposition; VAR models;
    All these keywords.

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • M31 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Marketing and Advertising - - - Marketing

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