Forecasting market shares using VAR and BVAR models: A comparison of their forecasting performance

Francisco F. R. Ramos
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Francisco F. R. Ramos: Faculty of Economics, University of Porto, Portugal

Econometrics from University Library of Munich, Germany

Abstract: This paper develops a Bayesian vector autoregressive model(BVAR) for the leader of the Portuguese car market to forecast the market share. The model includes five marketing decision variables.The Bayesian prior is selected on the basis of the accuracy of the out-of-sample forecasts. We find that our BVAR models generally produce more accurate forecasts of market share. The out-of-sample accuracy of the BVAR forecasts is also compared with that of forecasts from an unrestricted VAR model and of benchmark forecasts produced from univariate (e.g., Box-Jenkins ARIMA) models. Additionally, competitive dynamics of the market place are revealed through variance decompositions and impulse response analysis.

Keywords: Automobile market; BVAR models; Forecast accuracy; Impulse response analysis; Marketing decision variables; Specification of marketing priors; variance decomposition; VAR models (search for similar items in EconPapers)
JEL-codes: C11 C32 M31 (search for similar items in EconPapers)
Pages: 41 pages
Date: 1996-01-23
Note: Type of Document - Winword 2.0; prepared on IBM PC ; to print on HP/Epson; pages: 41 ; figures: included. Word for Windows document submitted by ftp
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