Due to high and low volatility periods, time series of absolute returns experience temporary level shifts (that is, periods with outliers) which differ in length and size. In this paper we put forward a new model which can describe and forecast the location and size of such level shifts. Our so...

We put forward a brand choice model with unobserved heterogeneity that concerns responsiveness to marketing efforts. We introduce two latent segments of households. The first segment is assumed to respond to marketing efforts while households in the second segment do not do so. Whether a...

We present a statistical model for voter choice that incorporates a consideration set stage and final vote intention stage. The first stage involves a multivariate probit model for the vector of probabilities that a candidate or a party gets considered. The second stage of the model is a...

The GARCH model and the Stochastic Volatility [SV] model are competing but non-nested models to describe unobserved volatility in asset returns. We propose a GARCH model with an additional error term, which can capture SV model properties, and which can be used to test GARCH against SV. We...

To enable answering the question in the title, we introduce a bivariate censored latent effects autoregression, and discuss representation, parameter estimation, diagnostics and inference. We show that this bivariate nonlinear model is very useful for examining common nonlinearity. We apply the...

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...

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 multiplier given that it has reduced rank. Rank...

We propose a multivariate nonlinear econometric time series model, which can be used to examine if there is common nonlinearity across economic variables. The model is a multivariate censored latent effects autoregression. The key feature of this model is that nonlinearity appears as separate...

We develop a new Bayesian approach to estimate the parameters of a latent-class model for the joint clustering of both modes of two-mode data matrices. Posterior results are obtained using a Gibbs sampler with data augmentation. Our Bayesian approach has three advantages over existing methods....

Purchase timing of households is usually modeled at the category level. Marketing efforts are however only available at the brand level. Hence, to describe category-level interpurchase times using marketing efforts one has to construct a category-level measure of marketing efforts from the...