743
Views
38
CrossRef citations to date
0
Altmetric
Original Articles

A Cointegration Analysis of Car Advertising and Sales Data in the Presence of Structural Change

&
Pages 111-128 | Published online: 22 Jan 2007

References

  • Andrews , D.W.K. 1993 . Tests for parameter instability and structural change with unknown change point . Econometrica , 61 : 821 – 56 .
  • Andrews , D.W.K. and Monahan , J.C. 1992 . An improved heteroskedasticity and autocorrelation consistent covariance matrix estimator . Econometrica , 60 : 953 – 66 .
  • Andrews , D.W.K. and Ploberger , W. 1994 . Optimal tests when a nuisance parameter is present only under the alternative . Econometrica , 62 : 1383 – 414 .
  • Andrews , D.W.K. 1996 . Optimal change point tests for normal linear regression . Econometrica , 70 : 9 – 38 .
  • Baghestani , H. 1991 . Cointegration analysis of the advertising‐sales relationship . Journal of Industrial Economics , 34 : 671 – 81 .
  • Bai , J. and Perron , P. 1998 . Estimating and testing linear models with multiple structural changes . Econometrica , 66 : 47 – 78 .
  • Bai , J. and Perron , P. 2003a . Computation and analysis of multiple structural change models . Journal of Applied Econometrics , 18 : 1 – 22 .
  • Bai , J. and Perron , P. 2003b . Critical values for multiple structural change tests . Econometrics Journal , 6 : 72 – 8 .
  • Campos , J. 1996 . Cointegration tests in the presence of structural breaks . Journal of Econometrics , 70 : 187 – 220 .
  • Cavaliere , G. and Tassanari , G. 2001 . Advertising effect on primary demand: a cointegration approach . International Journal of Advertising , 20 : 319 – 39 .
  • Chowdhury , A.R. 1994 . Advertising expenditures and the macro‐economy: some new evidence . International Journal of Advertising , 13 : 1 – 14 .
  • Cowling , K. and Cubbin , J. 1971 . Price, quality and advertising competition: an econometric investigation of the United Kingdom car market . Economica , 38 : 378 – 94 .
  • DeJong , D.N.J. 1992 . Integration versus trend stationary in time series . Econometrica , 60 : 423 – 33 .
  • Dekimpe , M.G. and Hanssens , M.H. 2000 . Time‐series models in marketing: past, present and future . International Journal of Research in Marketing , 17 : 183 – 93 .
  • Dickey , D.A. and Fuller , W.A. 1979 . Distribution of the estimators for autoregressive time series with a unit root . Journal of the American Statistical Association , 74 : 427 – 31 .
  • Dickey , D.A. and Fuller , W.A. 1981 . Likelihood ratio statistics for autoregressive time series with a unit root . Econometrica , 49 : 1057 – 72 .
  • Dorfman , R. and Steiner , P.O. 1954 . Optimal advertising and optimal quality . American Economic Review , 44 : 826 – 36 .
  • Elliott , C. 2001 . A cointegration analysis of advertising and sales data . Review of Industrial Organization , 18 : 417 – 26 .
  • Elliott , G. 1996 . Efficient test for an autoregressive unit root . Econometrica , 64 : 813 – 36 .
  • Franses , P.H. 1994 . Modelling new product sales: an application of cointegration analysis . International Journal of Research in Marketing , 11 : 491 – 502 .
  • Gallet , C.A. and List , J. 2001 . Market share instability: an application of unit root tests to the cigarette industry . Journal of Economics and Business , 53 : 473 – 80 .
  • Kwoka , J. 1993 . The sales and competitive effects of styling and advertising practices in the U.S. auto industry . Review of Economics and Statistics , 75 : 649 – 56 .
  • Lambin , J.J. 1975 . Optimal marketing behaviour in oligopoly . European Economic Review , 6 : 105 – 27 .
  • Landes , E.M. and Rosenfield , A. 1994 . The durability of advertising revisited . Journal of Industrial Economics , 42 : 263 – 76 .
  • Lariviere , E. 2000 . Modeling the demand of alcoholic beverages and advertising specifications . Agricultural Economics , 22 : 147 – 62 .
  • Leach , D.F. and Reekie , W.D. 1996 . A natural experiment of the effect of advertising on sales: the SASOL Case” . Applied Economics , 28 : 1081 – 91 .
  • Liu , J. 1997 . On segmented multivariate regressions . Statistica Sinica , 7 : 497 – 525 .
  • Newey , W.K. and West , K.D. 1987 . A simple, positive semi‐definite, heteroskedasticity and autocorrelation consistent covariance matrix . Econometrica , 55 : 703 – 08 .
  • Ng , S. and Perron , P. 1995 . Unit root tests in ARMA models with data dependent methods for the selection of the truncation lag . Journal of the American Statistical Association , 90 : 268 – 81 .
  • Ng , S. and Perron , P. 2001 . Lag length selection and the construction of unit root tests with good size and power . Econometrica , 69 : 1529 – 54 .
  • O’Donovan , B. 2000 . Determinants of advertising expenditures: aggregate and cross‐media evidence . International Journal of Advertising , 19 : 317 – 34 .
  • Ogaki , M. and Park , J.Y. 1997 . A cointegration approach to estimating preference parameters . Journal of Econometrics , 82 : 107 – 34 .
  • Paton , D. 2002 . Advertising, quality and sales . Applied Economics , 34 : 431 – 38 .
  • Perron , P. 1997 . Further evidence on breaking trend functions in macroeconomic variables . Journal of Econometrics , 80 : 355 – 85 .
  • Perron , P. and Ng , S. 1996 . Useful modifications to some unit root tests with dependent errors and their local asymptotic properties . Review of Economics Studies , 63 : 435 – 65 .
  • Perron , P. and Rodríguez , G. 2003 . GLS detrending, efficient unit root tests and structural change . Journal of Econometrics , 115 : 1 – 27 .
  • Phillips , P.C.B. and Perron , P. 1988 . Testing for a unit root intime series regression . Biometrika , 75 : 335 – 46 .
  • Schmalensee , R. 1972 . The Economics of Advertising , North‐Holland : Amsterdam .
  • Seldon , B.J. and Jung , C. 1995 . The length of the effect of aggregate advertising on aggregate consumption . Economic Letters , 48 : 207 – 11 .
  • Shin , Y. 1994 . A residual‐based test of the null of cointegration against the alternative of no cointegration . Econometric Theory , 10 : 91 – 115 .
  • Stock , J.H. and Watson , M.W. 1993 . A simple estimator of cointegrating vectors in higher order integrated systems . Econometrica , 61 : 783 – 820 .
  • Stock , J.H. 1999 . “ A class of tests for integration and cointegration ” . In Cointegration, Causality and Forecasting. A Festschrift in Honour of Clive W.J. Granger , Edited by: Engle , R.F. and White , H. 37 – 167 . Oxford : Oxford University Press .
  • Vogelsang , T.J. and Perron , P. 1998 . Additional tests for a unit root allowing for a break in the trend function at an unknown time . International Economic Review , 39 : 1073 – 100 .
  • Thomas , L.G. 1989 . Advertising in consumer goods industries: durability, economies of scale, and heterogeneity . Journal of Law and Economics , 23 : 163 – 93 .
  • Zanias , G.P. 1994 . The long‐run, causality, and forecasting in the advertising‐sales relationship . Journal of Forecasting , 13 : 601 – 10 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.