Seasonality and non-linear price effects in scanner-data-based market-response models

DOI10.1016/j.jeconom.2006.05.021zbMath1418.62451OpenAlexW2080795310MaRDI QIDQ277170

Richard Paap, Philip Hans Franses, Dennis Fok

Publication date: 4 May 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2006.05.021

zbMATH Keywords

threshold modelsMCMChierarchical Bayesnon-linearitypanels of time seriesweekly seasonality

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15)

Uses Software

• bayesm

Cites Work

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• Stochastic Relaxation, Gibbs Distributions, and the Bayesian Restoration of Images
• The Calculation of Posterior Distributions by Data Augmentation
• The Effect of Improper Priors on Gibbs Sampling in Hierarchical Linear Mixed Models
• Computing Bayes Factors Using a Generalization of the Savage-Dickey Density Ratio
• The Weighted Likelihood Ratio, Linear Hypotheses on Normal Location Parameters
• Time series with periodic structure
• Contemporary Bayesian Econometrics and Statistics

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