Essays in time series econometrics and forecasting with applications in marketing

This dissertation is composed of two parts, an integrative essay and a set of published papers. The essay and the collection of papers are placed in the context of development and application of time series econometric models in a temporal-axis from 1970s through 2005, with particular focus in the Marketing discipline.

The main aim of the integrative essay is on modelling the effects of marketing actions on performance variables, such as sales and market share in competitive markets. Such research required the estimation of two kinds of time series econometric models: multivariate and multiple time series models. I use Autoregressive Integrated Moving Average (ARIMA) intervention models and the Pierce and Haugh statistical test to model the impact of a single marketing instrument, mainly price promotions, to measure own and cross-short term sales effects, and to study asymmetric marketing competition. I develop and apply Vector AutoRegressive (VAR) and Bayesian Vector AutoRegressive (BVAR) models to estimate dynamic relationships in the market and to forecast market share. Especially, BVAR models are advantageous because they contain all relevant dynamic and interactive effects. They accommodate not only classical competitive reaction effects, but also own and cross-market share brand feedback effects and internal decision rules and provided substantively useful insights into the dynamics of demand. The integrative essay is structured in four main parts. The introduction sets the basic ideas behind the published papers, with particular focus on the motivation of the essay, the types of competitive reaction effects analysed, an overview of the time series econometric models in marketing, a short discussion of the basic methodology used in the research and a brief description of the inter-relationships across the published papers and structure of the essay.

The discussion is centred on how to model the effects of marketing actions at the selective demand or brand level and at the primary demand or product level. At the brand level I discuss the research contribution of my work on:-
(i) modelling promotional short-term effects of price and non-price actions on sales and market share for consumer packaged goods, with no competition
(ii) how to measure own and cross short-term sales effects of advertising and price, in particular, cross-lead and lag effects, asymmetric sales behaviour and competition without retaliatory actions, in an automobile market,
(iii) how to model the marketing-mix effectiveness at the short and long-term on market shares in a car market,
(iv) what is the best method to forecast market share, and
(v) the study of causal linkages at different time horizons between sales and marketing activity for a particular brand. At the product or commodity level, I propose a way to model the flows of tourists that come from different origins (countries) to the same country-destination as market segments defining the primary demand of a commodity – the product “tourism” offered by the country of destination.

The last part ends with the main conclusions, including the most important theoretical and empirical findings and directions for future research.