Impulse-response analysis of the market share attraction model

Dennis Fok and Philip Hans Franses

No EI 9955-/A, Econometric Institute Research Papers from Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute

Abstract: We propose a simulation-based technique to calculate impulse-response functions and their confidence intervals in a market share attraction model [MCI]. As an MCI model implies a reduced form model for the logs of relative market shares, simulation techniques have to be used to obtain the impulse-responses for the levels of the market shares. We apply the technique to an MCI model for a five-brand detergent market. We illustrate how impulse-response functions can help to interpret the estimated model. In particular, the competitive and dynamic structure of the model can be analyzed.

Keywords: attraction models; forecasting; impulse-response analysis; market shares (search for similar items in EconPapers)
Date: 1999-01-01
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