Modeling parametric evolution in a random utility framework

Journal of Business and Economic Statistics

Volumn 23, Issue 3, 2005, Pages 282-294

  Kim, Jin Gyo ^a   Menzefricke, Ulrich ^b   Feinberg, Fred M ^c  

^a MASSACHUSETTS INSTITUTE OF TECHNOLOGY   (United States)

^b UNIVERSITY OF TORONTO   (Canada)

^c UNIVERSITY OF MICHIGAN   (United States)

Author keywords

Bayesian model; Choice model; Dynamic model; Logit model; Scanner panel data; Varying parameter model; Vector autoregressive process

Indexed keywords

EID: 22544475005     PISSN: 07350015     EISSN: None     Source Type: Journal    
DOI: 10.1198/073500104000000550     Document Type: Article

References (33)

1. Allenby, G. M., and Lenk, P. J. (1994), "Modeling Household Purchase Behavior With Logistic Normal Regression," Journal of American Statistical Association, 89, 1218-1231.
2. _ (1995), "Reassessing Brand Loyalty, Price Sensitivity, and Merchandising Effects on Consumer Brand Choice," Journal of Business & Economic Statistics, 13, 281-289.
3. Barnett, G., Kohn, R., and Sheather, S. (1996), "Bayesian Estimation of an Autoregressive Model Using Markov Chain Monte Carlo," Journal of Econometrics, 74, 237-254.
4. Bernardo, J. M., and Smith, A. F. M. (1994), Bayesian Theory, New York: Wiley.
5. Cargnoni, C., Müller, P., and West, M. (1997), "Bayesian Forecasting of Multinomial Time Series Through Conditionally Gaussian Dynamic Models," Journal of the American Statistical Association, 92, 640-647.
6. Carlin, B. P., Polson, N. G., and Stoffer, D. S. (1992), "A Monte Carlo Approach to Nonnormal and Nonlinear State-Space Modeling," Journal of the American Statistical Association, 87, 493-500.
7. Chib, S., and Greenberg, E. (1995), "Understanding the Metropolis-Hastings Algorithm," The American Statistician, 49, 327-335.
8. Doan, T., Litterman, R. B., and Sims, C. A. (1984), "Forecasting and Conditional Projection Using Realistic Prior Distributions," Econometric Reviews, 3, 1-144.
9. Geweke, J. (1992), "Evaluating the Accuracy of Sampling-Based Approaches to Calculation of Posterior Moments," in Bayesian Statistics 4, eds. J. M. Bernardo, A. P. Dawid, and A. F. M. Smith, Oxford, U.K.: Oxford University Press, pp. 169-193.
10. Hamilton, J. D. (1994), Time Series Analysis, Princeton, NJ: Princeton University Press.
11. Harrison, P. J., and Stevens, C. F. (1976), "Bayesian Forecasting," Journal of the Royal Statistical Society, Ser. B, 38, 205-247.
12. Heckman, J. J. (1981), "Statistical Models for Discrete Panel Data," in Structural Analysis of Discrete Data With Econometric Applications, eds. C. F. Manski and D. McFadden, Cambridge, MA: MIT Press, pp. 179-195.
13. Heidelberger, P., and Welch, P. D. (1983), "Simulation Run Length Control in the Presence of an Initial Transient," Operations Research, 31, 1109-1144.
14. Jenkins, G. M., and Watts, D. G. (1968), Spectral Analysis and Its Applications, San Francisco: Holden-Day.
15. Kahneman, D., and Tversky, A. (1979), "Prospect Theory: An Analysis of Decision Under Risk," Econometrica, 47, 263-291.
16. Kass, R. E., and Raftery, A. E. (1995), "Bayes Factors," Journal of the American Statistical Association, 90, 773-795.
17. Li, H., and Tsay, R. S. (1998), "A Unified Approach to Identifying Multivariate Time Series Models," Journal of the American Statistical Association, 93, 770-782.
18. Litterman, R. B. (1986), "Forecasting With Bayesian Vector Autoregressions: Five Years of Experience," Journal of Business & Economic Statistics," 4, 25-38.
19. Lütkepohl, H. (1991), Introduction to Multiple Time Series Analysis, Heidelberg: Springer-Verlag.
20. Manski, C. F. (1977), "The Structure of Random Utility Models," Theory and Decision, 8, 229-254.
21. McFadden, D. (1973), "Conditional Logit Analysis of Qualitative Choice Behavior," in Frontiers in Econometrics, ed. P. Zarembka, New York: Academic Press, pp. 105-142.
22. Metropolis, N., Rosenbluth, A. W., Rosenbluth, M. N., Teller, A. H., and Teller, E. (1953), "Equation of State Calculations by Fast Computing Machine," Journal of Chemical Physics, 21, 1087-1091.
23. Neal, R. M. (1997), "Markov Chain Monte Carlo Methods Based on 'Slicing' the Density Function," Technical Report 9722, University of Toronto, Dept. of Statistics.
24. Newton, M. A., and Raftery, A. E. (1994), "Approximate Bayesian Inference With the Weighted Likelihood Bootstrap," Journal of the Royal Statistical Society, Ser. B, 56, 3-48.
25. Polasek, W., and Kozumi, H. (1996), "The VAR-VARCH Model: A Bayesian Approach," in Modelling and Prediction: Honoring Seymour Geisser, eds. J. C. Lee, W. O. Johnson, and A. Zellner, New York: Springer-Verlag, pp. 402-413.
26. Roberts, G. O., and Rosenthal, J. S. (1999), "Convergence of Slice Sampler Markov Chains," Journal of the Royal Statistical Society, Ser. B, 61, 643-660.
27. Slovic, P., Griffin, D., and Tversky, A. (1990), "Compatibility Effects in Judgement and Choice," in Insights in Decision Making: A Tribute to Hillel J. Einhorn, ed. R. M. Hogarth, Chicago: University of Chicago Press, pp. 5-27.
28. Thaler, R. (1985), "Mental Accounting and Consumer Choice," Marketing Science, 4, 199-214.
29. Tversky, A., Sattath, S., and Slovic, P. (1988), "Contingent Weighting in Judgement and Choice," Psychological Review, 95, 371-384.
30. von Nitzsch, R., and Weber, M. (1993), "The Effect of Attribute Ranges on Weights in Multiattribute Utility Measurements," Management Science, 39, 937-943.
31. Wakefield, K. L., and Inman, J. J. (2003), "Situational Price Sensitivity: The Role of Consumption Occasion, Social Context, and Income," Journal of Retailing, 79, 199-212.
32. West, M., and Harrison, P. (1997), Bayesian Forecasting and Dynamic Models (2nd ed.), New York: Springer-Verlag.
33. Yang, S., Allenby, G. M., and Fennell, G. (2002) "Modeling Variation in Brand Preference: The Roles of Objective Environment and Motivating Conditions," Marketing Science, 21, 14-31.