We propose a new method to model consumers' consideration and choice processes. We develop a parsimonious probit type model for consideration and a multinomial probit model for choice, given consideration. Unlike earlier models of consideration ours is not prone to the curse of dimensionality,...

In this paper we propose a Bayesian analysis of seasonal unit roots in quarterly observed time series. Seasonal unit root processes are useful to describe economic series with changing seasonal fluctuations. A natural alternative model for similar purposes contains deterministic seasonal mean...

We propose a new and simple methodology to estimate the loss function associated with experts' forecasts. Under the assumption of conditional normality of the data and the forecast distribution, the asymmetry parameter of the lin-lin and linex loss function can easily be estimated using a linear...

We propose a multivariate nonlinear econometric time series model, which can be used to examine if there is common nonlinearity across economic variables. The model is a multivariate censored latent effects autoregression. The key feature of this model is that nonlinearity appears as separate...

A new time series model is proposed to describe observed asymmetries in postwar unemployment data. We assume that recession periods, when unemployment increases rapidly, are caused by unobserved positive shocks. The generating mechanism of these latent shocks is a censored regression model,...

This paper is concerned with forecasting univariate seasonal time series data using periodic autoregressive models. We show how one should account for unit roots and deterministic terms when generating out-of-sample forecasts. We illustrate the models for various quarterly UK consumption series.

The GARCH model and the Stochastic Volatility [SV] model are competing but non-nested models to describe unobserved volatility in asset returns. We propose a GARCH model with an additional error term, which can capture SV model properties, and which can be used to test GARCH against SV. We...

We put forward a statistical model for interpurchase times that takes into account all the current and past information available for all purchases as time continues to run along the calendar timescale. It delivers forecasts for the number of purchases in the next period and for the timing of...

For promotional planning and market segmentation it is important to understand the short-run and long-run effects of the marketing mix on category and brand sales. In this paper we put forward a sales response model to explain the differences in short-run and long-run effects of promotions on...

We address the issue of time varying persistence of shocks to macroeconomic time series variables by proposing a new and parsimonious time series model. Our model assumes that this time varying persistence depends on a linear combination of lagged explanatory variables, where this combination...