To understand the relevance of marketing efforts, it has become standard practice to estimatethe long-run and short-run effects of the marketing-mix, using, say, weekly scanner data. Acommon vehicle for this purpose is an econometric time series model. Issues that areaddressed in the literature...

The problem of optimal decision among unit roots, trend stationarity, and trend stationarity with structural breaks is considered. Each class is represented by a hierarchically random process whose parameters are distributed in a non-informative way. The prior frequency for all three processes...

We develop a simple method for forecasting and benchmarking consumer trial of new products. First, we extend the exponential trial growth models used in controlled test markets to the context of national product launches. This provides a marketing science benchmark against which our new approach...

Decomposing Granger causality over the spectrum allows to disentangle potentially different Granger causality relationships over different frequencies. This may yield new and complementary insights compared to traditional versions of Granger causality. In this paper, we compare two existing...

We consider the basic problem of refi tting a time series over a finite period of time and formulate it as a stochastic dynamic program. By changing the underlying Markov decision process we are able to obtain a model that at optimality considers historical data as well as forecasts of future...