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

  • Grewal, Rajdeep
  • Mills, Jeffrey A.
  • Mehta, Raj
  • Mujumdar, Sudesh
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    File URL: http://www.sciencedirect.com/science/article/B6V7S-423HJPN-G/2/278d43cad98a512a956a430631990a97
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    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
    Contact details of provider: Web page: http://www.elsevier.com/locate/jbusres

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    2. 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.
    3. 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.
    4. 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.
    5. Frank M. Bass, 1995. "Empirical Generalizations and Marketing Science: A Personal View," Marketing Science, INFORMS, vol. 14(3_supplem), pages G6-G19.
    6. Robert P. Leone, 1995. "Generalizing What Is Known About Temporal Aggregation and Advertising Carryover," Marketing Science, INFORMS, vol. 14(3_supplem), pages G141-G150.
    7. 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.
    8. Granger, C. W. J. & Newbold, P., 1974. "Spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 2(2), pages 111-120, July.
    9. Perron, P, 1988. "The Great Crash, The Oil Price Shock And The Unit Root Hypothesis," Papers 338, Princeton, Department of Economics - Econometric Research Program.
    10. 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.
    11. Phillips, Peter C B, 1995. "Fully Modified Least Squares and Vector Autoregression," Econometrica, Econometric Society, vol. 63(5), pages 1023-78, September.
    12. 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.
    13. Marnik G. Dekimpe & Dominique M. Hanssens, 1995. "Empirical Generalizations About Market Evolution and Stationarity," Marketing Science, INFORMS, vol. 14(3_supplem), pages G109-G121.
    14. 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.
    15. 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.
    16. 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.
    17. 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.
    18. 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.
    19. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
    20. Hiro Y. Toda & Peter C.B. Phillips, 1991. "Vector Autoregression and Causality," Cowles Foundation Discussion Papers 977, Cowles Foundation for Research in Economics, Yale University.
    21. 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.
    22. 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.
    23. 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.
    24. 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.
    25. 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.
    26. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
    27. 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.
    28. 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.
    29. Baghestani, Hamid, 1991. "Cointegration Analysis of the Advertising-Sales Relationship," Journal of Industrial Economics, Wiley Blackwell, vol. 39(6), pages 671-81, December.
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