search query: @indexterm STATISTICAL METHODS / total: 745
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| Author: | Horvath, C. Leeflang, P.S.H. Otter, P.W. |
| Title: | Canonical correlation analysis and Wiener-Granger causality tests: Useful tools for the specification of VAR models |
| Journal: | Marketing Letters
2002 : FEB, VOL. 13:1, p. 53-66 |
| Index terms: | Marketing Statistical methods Models |
| Freeterms: | Canonical correlation Causality testing |
| Language: | eng |
| Abstract: | Dynamic multivariate models have become popular in analyzing the behaviour of competitive marketing systems because they can incorporate all the relationships in competitive marketing environment. This paper considers VAR models, the most frequently used dynamic multivariate models. The drawback of VAR models is that a large number of parameters have to be estimated. This paper proposes to use canonical correlation for this purpose. Canonical correlation analysis and its associated Wiener-Granger causality testing based on the canonical correlation coefficients are useful tools to test the existence of structural relationships btw. consumer response and marketing instruments. The tools are applied on data of market shares and marketing instruments in a market of a frequently purchased consumer goods. |
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