In this paper we develop a dynamic model for integer counts to capture the dis- creteness of price changes for financial transaction prices. Our model rests on an autoregressive multinomial component for the direction of the price change and a dynamic count data component for the size of the...

It is well understood that the two most popular empirical models of location choice - conditional logit and Poisson - return identical coefficient estimates when the regressors are not individual specific. We show that these two models differ starkly in terms of their implied predictions. The...

The marketing literature often argues that the random coefficient logit model gives more realistic results than the homogeneous logit. The purpose of this paper is to show that the random coefficients logit improves upon, but does not completely solve the problems of the homogeneous logit. We...

We present an approach for analyzing market shares and products price elasticities based on large datasets containing aggregate sales data for many products, several markets and for relatively long time periods. We consider the recently proposed Bayesian approach of Jiang et al [Jiang, Renna,...