Cointegration analysis of brand and category sales: stationarity and long-run equilibrium in market shares

Applied Stochastic Models in Business and Industry

Volumn 16, Issue 3, 2000, Pages 159-177

  Srinivasan, Shuba ^a   Bass, Frank M ^b  

^a UNIVERSITY OF CALIFORNIA   (United States)

^b UNIVERSITY OF TEXAS AT DALLAS   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

COMPETITION; CONSUMER PRODUCTS; ECONOMICS; INTEGRATION; MATHEMATICAL MODELS; NUMERICAL ANALYSIS; PRODUCT DEVELOPMENT; SALES; TIME SERIES ANALYSIS;

BRAND SALES; CATEGORY SALES; COINTEGRATION ANALYSIS; ECONOMETRIC MODELS; MARKET SHARES; PRIMARY DEMAND LEVEL; STATIONARITY;

MARKETING;

EID: 0034220922     PISSN: 15241904     EISSN: None     Source Type: Journal    
DOI: 10.1002/1526-4025(200007/09)16:3<159::AID-ASMB417>3.0.CO;2-R     Document Type: Article

References (45)

1. Ehrenberg ASC. Repeat Buying: Facts, Theory and Data. Oxford University Press: New York, 1972 (1988 2nd edn).
2. Bass FM, Jeuland AP, Wright GP. Equilibrium stochastic choice and market penetration theories. Management Science 1976; 22(10): 1051-1063.
3. Ehrenberg ASC. Theory or well-based results: which comes first? In Research Traditions in Marketing, Laurent G, Lillien GL, Pras B (eds). Kluwer Academic Publisher: Boston, 1994, 79-105.
4. Bass FM, Pilon TL. A stochastic brand choice framework for econometric modeling of time series market share behavior. Journal of Marketing Research 1980; 17:486-497.
5. Dekimpe MG, Hanssens DM. Empirical generalizations about market evolution and stationarity. Marketing Science 1995; 14(2):G109-121.
6. Lal R, Padmanabhan V. Competitive response and equilibria. Marketing Science 1995; 14(2):G101-108.
7. Blattberg RC, Briesch R, Fox EJ. How promotions work. Marketing Science 1995; 14(2):G122-132.
8. Dekimpe MG, Hanssens DM, Silva-Risso JM. Long-run effects of price promotions in scanner markets. Journal of Econometrics 1999; 89:269-291.
9. Dekimpe MG, Hanssens DM. Sustained spending and persistent response: a new look at long-term marketing profitability. Journal of Marketing Research 1999; forthcoming.
10. Campbell JY, Mankiw NG. Are output fluctuations transitory? Quarterly Journal of Economics 1987; 102(4):857-880.
11. Evans G. Output and unemployment dynamics in the United States. Journal of Applied Econometrics 1989; 4:213-237.
12. Lutkepohl H, Reimers H. Impulse-response analysis of cointegrated systems. Journal of Economic Dynamics and Control 1992; 16(1):53-78.
13. Dekimpe MG, Hanssens DM. The persistence of marketing effects on sales. Marketing Science 1995; 14(1):1-21.
14. Bronnenberg J, Mahajan V, Vanhonacker WR. The emergence of market structure in new repeat-purchase categories: a dynamic approach and an empirical application. Journal of Marketing Research 1999, forthcoming.
15. Franses PH, Kloek T, Lucas A. Outlier robust analysis of long-run marketing effects for weekly scanning data. Journal of Econometrics 1999; 89:293-315.
16. Jedidi K, Mela CF, Gupta S. Managing advertising and promotion for long-run profitability. Marketing Science 1999; 18(1):1-22.
17. Engle RF, Granger CWJ. Cointegration and error correction: representation, estimation and testing. Econometrica 1987; 55(2):251-276.
18. Powers K, Hanssens DM, Hser Y, Anglin MD. Measuring the long-term effects of public policy: the case of narcotics use and property crime. Management Science 1991; 37(6):627-644.
19. Baghestani H. Cointegration analysis of the advertising-sales relationship. Journal of Industrial Economics 1991; 34:671-681.
20. Zanias GP. The long run, causality, and forecasting in the advertising-sales relationship. Journal of Forecasting 1994; 13(7):601-610.
21. Franses PH. Modeling new product sales: an application of cointegration analysis. International Journal of Research in Marketing 1994;11:491-502.
22. Veenstra AW, Franses PH. A cointegration approach to forecasting freight rates in the dry bulk shipping sector. Transportation Research - A 1997; 31(6):447-458.
23. Banerjee A, Dolado J, Galbraith JW, Hendry DF. Cointegration, Error-Correction, and the Econometric Analysis of Non-Stationary Data. Oxford University Press: Oxford, 1993.
24. Enders W. Applied Econometric Time series. Wiley: New York, 1995.
25. Harris R. Cointegration Analysis in Econometric Modeling. Prentice-Hall: Englewood Cliffs, NJ, 1995.
26. Johansen S. Statistical analysis of cointegration vectors. Journal of Economic Dynamics and control, 1988; 12:231-254.
27. Johansen S, Juselius K. Maximum likelihood estimation and inference on cointegration - with applications to the demand for money. Oxford Bulletin of Economics and Statistics 1990; 52(2):169-210.
28. Dickey DA, Fuller WA. Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association 1979; 74:427-431.
29. Srinivasan S, Popkowski Leszczyc PTL, Bass FM. Market share response and competitive interaction: the role of temporary, gradual and structural changes in prices. Working paper, 2000.
30. Ehrenberg ASC. Description and prescription. Journal of Advertising Research 1997; 37(6):17-22.
31. Maddala GS, Kim I. Unit Roots, Cointegration and Structural Change. Cambridge University Press: Cambridge, UK, 1998.
32. Christen M, Gupta S, Porter JC, Staelin R, Wittink DR. Using market-level data to understand promotion effects in a nonlinear model. Journal of Marketing Research 1997; 34:322-334.
33. Pesaran MH, Smith R. Estimating long-run relationships from dynamic heterogeneous panels. Journal of Econometrics 1995; 68:79-113.
34. Link R. Are aggregate scanner data models biased? Journal of Advertising Research 1995; RC8-12.
35. Franses PH. Periodicity and Stochastic Trends in Economic Time Series. Oxford University Press: Oxford, 1996.
36. Hendry DF, Doornik JA. Empirical Econometric Modelling Using PcGive 9.0 for Windows. International Thomson Business Press, 1996.
37. Doornik JA, Hendry DF. Modelling Dynamic Systems: Using PcFiml 9.0 for Windows. International Thompson Business Press: Boston, MA, 1996.
38. Philips PCB, Ouliaris S, Asymptotic properties of residual based tests for cointegration. Econometrica 1990; 58:165-193.
39. Bass FM, Givon MM, Kalwani MU, Reibstein D, Wright GP. An investigation into the order of the brand choice process. Marketing Science 1984; 3(4):267-287.
40. Mela CF, Gupta S, Lehmann DR. The long-term impact of promotions and advertising on consumer brand choice. Journal of Marketing Research 1997; 34:248-261.
41. Ehrenberg ASC, Hammond K, Goodhardt GJ. The after-effects of price-related consumer promotions. Journal of Advertising Research 1994; 11-21.
42. Wall Street Journal. P&G ad chief plots demise of the coupon. 1996; B1:6.
43. Wall Street Journal. Down the drain: move to drop coupons puts Proctor & Gamble in sticky PR situation. 1997; A1.
44. Findlay JF. How to beat the odds in the new products game. Paper presented for Information Resources Inc. at the Marketing Science Conference, University of Florida, Gainesville, March 1996.
45. Granger CWJ. Cointegrated variables and error-correcting models. Unpublished UCSD Discussion Paper 83-13, 1983.