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2017 | OriginalPaper | Buchkapitel

4. Modern (Multiple) Time Series Models: The Dynamic System

verfasst von : Koen H. Pauwels

Erschienen in: Advanced Methods for Modeling Markets

Verlag: Springer International Publishing

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Abstract

While Chap. 3’s univariate models capture dynamic patterns of a single variable, and multivariate models allow us to analyze the dynamic effect of marketing actions on performance, they leave several interesting phenomena unexplored. These include:

dual causality among marketing and performance, which could be tied in a long-term equilibrium;

explaining competitive marketing activity and predicing competitive reaction, and

uncovering decision rules of key market players, such as retailers (Dekimpe and Hanssens 1999).

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Vorheriges Kapitel Traditional Time-Series Models

Nächstes Kapitel State Space Models

The VAR-system can also be represented as: \( \left[\begin{array}{c}{s}_t\\ {fm}_t\\ {om}_t\\ {cm}_t\\\end{array}\right] \left[\begin{array}{cccc} 0& {\beta}_{12}^{0}& {\beta}_{13}^{0}& {\beta}_{14}^{0}\\ {\beta}_{21}^{0}& 0& {\beta}_{23}^{0}& {\beta}_{24}^{0}\\ {\beta}_{31}^{0}& {\beta}_{32}^{0}& 0& {\beta}_{34}^{0}\\ {\beta}_{41}^{0}& {\beta}_{42}^{0}& {\beta}_{43}^{0}& 0\\ \end{array}\right]+\sum_{k=0}^K\left[\begin{array}{cccc} {\beta}_{11}^{k}& {\beta}_{12}^{k}& {\beta}_{13}^{k}& {\beta}_{14}^{k}\\ {\beta}_{21}^{k}& {\beta}_{22}^{k}& {\beta}_{23}^{k}& {\beta}_{24}^{k}\\ {\beta}_{31}^{k}& {\beta}_{32}^{k}& {\beta}_{33}^{k}& {\beta}_{34}^{k}\\ {\beta}_{41}^{k}& {\beta}_{42}^{k}& {\beta}_{43}^{k}& {\beta}_{44}^{k}\\ \end{array}\right]\left[\begin{array}{c} {s}_{t-k}\\ {fm}_{t-k}\\ {om}_{t-k}\\ {cm}_{t-k}\\ \end{array} \right]+\left[\begin{array}{c} {u}_{St}\\ {u}_{FMt}\\ {u}_{OMt}\\ {u}_{CMt}\\ \end{array}\right] \).

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Titel: Modern (Multiple) Time Series Models: The Dynamic System
verfasst von: Koen H. Pauwels
Verlag: Springer International Publishing
Buch: Advanced Methods for Modeling Markets
Print ISBN: 978-3-319-53467-1

Electronic ISBN: 978-3-319-53469-5

Copyright-Jahr: 2017
DOI: https://doi.org/10.1007/978-3-319-53469-5_4