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Franses, Ph.H.B.F. - Erasmus University Rotterdam, Econometric Institute - 2004

With the advent of advanced data collection techniques, there is an increased interest in using econometric models to support decisions in marketing. Due to the sometimes specific nature of variables in marketing, the discipline uses econometric models that are rarely, if ever, used elsewhere....

Persistent link: https://www.econbiz.de/10004972205

On combining revealed and stated preferences to forecast customer behaviour: three case studies

Franses, Ph.H.B.F.; Verhoef, P.C. - Erasmus University Rotterdam, Econometric Institute - 2002

Many companies collect stated preference data (SP) like intentions and satisfaction as well as revealed preference data (RP) like actual purchasing behavior. It seems relevant to examine the predictive usefulness of this information for future revealed preferences, that is, customer behavior. In...

Persistent link: https://www.econbiz.de/10004972221

On forecasting cointegrated seasonal time series

LÃ¶f, M.; Franses, Ph.H.B.F. - Erasmus University Rotterdam, Econometric Institute - 2000

forecasting study. We include both single equation and multiple equation methods. A VAR model in first differences with and …

Persistent link: https://www.econbiz.de/10004972225

Experts' adjustment to model-based forecasts: Does the forecast horizon matter?

Franses, Ph.H.B.F.; Legerstee, R. - Erasmus University Rotterdam, Econometric Institute - 2007

Experts may have domain-specific knowledge that is not included in a statistical model and that can improve forecasts. While one-step-ahead forecasts address the conditional mean of the variable, model-based forecasts for longer horizons have a tendency to convert to the unconditional mean of a...

Persistent link: https://www.econbiz.de/10004972226

Formalizing judgemental adjustment of model-based forecasts

Franses, Ph.H.B.F. - Erasmus University Rotterdam, Econometric Institute - 2006

In business and in macroeconomics it is common practice to use econo- metric models to generate forecasts. These models can take any degree of sophistication. Sometimes it is felt by an expert that the model-based fore- cast needs adjustment. This paper makes a plea for a formal approach to such...

Persistent link: https://www.econbiz.de/10004972257

The forecasting performance of various models for seasonality and nonlinearity for quarterly industrial production

Franses, Ph.H.B.F.; Dijk, D.J.C. van - Erasmus University Rotterdam, Econometric Institute - 2001

we examine the forecasting performance of various models for seasonality and nonlinearity using quarterly industrial … production series for 17 OECD countries. We find that forecasting performance varies widely across series, across forecast …

Persistent link: https://www.econbiz.de/10008570605

Selecting a Nonlinear Time Series Model using Weighted Tests of Equal Forecast Accuracy

Dijk, D.J.C. van; Franses, Ph.H.B.F. - Erasmus University Rotterdam, Econometric Institute - 2003

found to perform better in out-of-sample forecasting than a benchmark linear model. An empirical illustration for US GDP …

Persistent link: https://www.econbiz.de/10008584688

A multivariate STAR analysis of the relationship between money and output

Rothman, P.; Dijk, D.J.C. van; Franses, Ph.H.B.F. - Erasmus University Rotterdam, Econometric Institute - 1999

-of-sample forecasting exercise to study money-income Granger causality, both linear and nonlinear, we believe is new to the literature. The … forecasting results do not suggest that money is nonlinearly Granger causal for output. In fact, they show that by allowing money … to nonlinearly Granger cause output, the forecasting performance of the STVECM is significantly worsened. …

Persistent link: https://www.econbiz.de/10008584690

Impulse-response analysis of the market share attraction model

Fok, D.; Franses, Ph.H.B.F. - Erasmus University Rotterdam, Econometric Institute - 1999

We propose a simulation-based technique to calculate impulse-response functions and their confidence intervals in a market share attraction model [MCI]. As an MCI model implies a reduced form model for the logs of relative market shares, simulation techniques have to be used to obtain the...

Persistent link: https://www.econbiz.de/10008584691

Smooth transition autoregressive models - A survey of recent developments

Dijk, D.J.C. van; Terasvirta, T.; Franses, Ph.H.B.F. - Erasmus University Rotterdam, Econometric Institute - 2000

several of its variants. We put emphasis on new methods for testing for STAR nonlinearity, model evaluation, and forecasting …

Persistent link: https://www.econbiz.de/10008584722