Biblioteca de la Universidad Complutense de Madrid

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

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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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URL Oficial: http://eprints.ucm.es/7910/




Resumen

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)
Volumen:2006
Número:0602
Código ID:7910
Referencias:

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

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