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Modeling dynamic effects of promotion on interpurchase times

Paap, Richard; Franses, Philip Hans; Fok, Fok, D. - Faculteit der Economische Wetenschappen, Erasmus … - 2002

In this paper we put forward a duration model to analyze the dynamic effects of marketing-mix variables on interpurchase times. We extend the accelerated failure-time model with an autoregressive structure. An important feature of our model is that it allows for different long-run and short-run...

Persistent link: https://www.econbiz.de/10010837907

Testing for changes in volatility in heteroskedastic time series - a further examination

De Pooter, Michiel; van Dijk, Dick - Faculteit der Economische Wetenschappen, Erasmus … - 2004

We consider tests for sudden changes in the unconditional volatility of conditionally heteroskedastic time series based on cumulative sums of squares. When applied to the original series these tests suffer from severe size distortions, where the correct null hypothesis of no volatility change is...

Persistent link: https://www.econbiz.de/10010731577

Priors, Posterior Odds and Lagrange Multiplier Statistics in Bayesian Analyses of Cointegration

Kleibergen, Frank; Paap, Richard - Faculteit der Economische Wetenschappen, Erasmus … - 1996

Using the standard linear model as a base, a unified theory of Bayesian Analyses of Cointegration Models is constructed … cointegration model. Using these priors, posterior results for the cointegration model are obtained using a Metropolis …-Hasting sampler. To compare the cointegration models mutually and with the vector autoregressive model under stationarity, we use two …

Persistent link: https://www.econbiz.de/10010837753

Valuing structure, model uncertainty and model averaging in vector autoregressive processes

Strachan, Rodney; van Dijk, Herman K. - Faculteit der Economische Wetenschappen, Erasmus … - 2004

uniform priors on subspaces defined by particular structural features of VARs. The features considered are cointegration …

Persistent link: https://www.econbiz.de/10010837836

The value of structural information in the VAR model

Strachan, Rodney; van Dijk, Herman K. - Faculteit der Economische Wetenschappen, Erasmus … - 2003

features of a model, such as cointegration, can improve policy analysis as it can improve estimation, inference and forecast … features of the VAR model. The features considered are cointegration, exogeneity, deterministic processes and …

Persistent link: https://www.econbiz.de/10010837862

Priors, posteriors and Bayes factors for a Bayesian analysis of cointegration

Kleibergen, Frank; Paap, Richard - Faculteit der Economische Wetenschappen, Erasmus … - 1998

Cointegration occurs when the long run multiplier of a vector autoregressive model exhibits rank reduction. Priors and … posteriors of the parameters of the cointegration model are therefore proportional to priors and posteriors of the long run … product of the adjustment parameters and the cointegrating vectors, i.e. the cointegration specification, and a matrix that …

Persistent link: https://www.econbiz.de/10010837965

Ten Things We Should Know About Time Series

McAleer, Michael; Oxley, Les - Faculteit der Economische Wetenschappen, Erasmus … - 2010

Time series data affect many aspects of our lives. This paper highlights ten things we should all know about time series, namely: a good working knowledge of econometrics and statistics, an awareness of measurement errors, testing for zero frequency, seasonal and periodic unit roots, analysing...

Persistent link: https://www.econbiz.de/10010837984

Comparison of the Anderson-Rubin test for overidentification and the Johansen test for cointegration

van Dijk, Herman K.; Hoogerheide, Hoogerheide, L.F. - Faculteit der Economische Wetenschappen, Erasmus … - 2001

Equations Model and the Johansen test for cointegration in a Vector Autoregressive model. The similar structure of the two …

Persistent link: https://www.econbiz.de/10010731700

Cointegration in a historical perspective

Franses, Philip Hans; van Dijk, Dick - Faculteit der Economische Wetenschappen, Erasmus … - 2009

We analyse the impact of the Engle and Granger (1987) article by its citations over time, and find evidence of a second life starting in the new millennium. Next, we propose a possible explanation of the success of this citation classic. We argue that the conditions for its success were just...

Persistent link: https://www.econbiz.de/10010731703

Bayesian model averaging in vector autoregressive processes with an investigation of stability of the US great ratios and risk of a liquidity trap in the USA, UK and Japan

Strachan, Rodney; van Dijk, Herman K. - Faculteit der Economische Wetenschappen, Erasmus … - 2007

A Bayesian model averaging procedure is presented within the class of vector autoregressive (VAR) processes and applied to two empirical issues. First, stability of the "Great Ratios" in U.S. macro-economic time series is investigated, together with the presence and e¤ects of permanent shocks....

Persistent link: https://www.econbiz.de/10010731708