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Decomposition of state-space Model with inputs: The theory and an application to estimate the ROI of advertising


Casals Carro, José y Jerez Méndez, Miguel y Sotoca López, Sonia (2006) Decomposition of state-space Model with inputs: The theory and an application to estimate the ROI of advertising. [ Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE); nº 0602, 2006, ]

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This paper shows how to compute the in-sample effect of exogenous inputs on the endogenous variables in any linear model written in state-space form. Estimating this component may be, either interesting by itself, or a previous step before decomposing a time series into trend, cycle, seasonal and error components. The practical application and usefulness of this method is illustrated by estimating the effect of advertising on monthly sales of the Lydia Pinkham vegetable compound.

Tipo de documento:Documento de trabajo o Informe técnico
Información Adicional:

JEL classification: C320; C530

Palabras clave:State-space, Signal extraction, Time series decomposition, Seasonal adjustment, Advertising, Lydia Pinkham
Materias:Ciencias Sociales > Economía > Econometría
Título de serie o colección:Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE)
Código ID:7910

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Depositado:20 May 2008
Última Modificación:06 Feb 2014 07:56

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