A Hierarchical Bayes Error Correction Model to Explain Dynamic Effects of Price Changes

Vol. XLIII (August 2006), 443–461 443 © 2006, American Marketing Association ISSN: 0022-2437 (print), 1547-7193 (electronic) *Dennis Fok is Assistant Professor of Econometrics (e-mail: dfok@few. eur.nl), Csilla Horváth is an academic researcher (e-mail: horvathcs@mnb. hu), and Richard Paap is Associate Professor of Econometrics (e-mail: [email protected]), Econometric Institute, Erasmus University Rotterdam. Philip Hans Franses is Professor of Applied Econometrics, Econometric Institute, and Professor of Marketing Research, Department of Marketing and Organization, Erasmus University Rotterdam (e-mail: franses@few. eur.nl). The authors thank Dick Wittink and the three anonymous JMR reviewers for their helpful and extensive comments. They are indebted to participants of the 2004 Marketing Science conference in Rotterdam and to Marnik Dekimpe for their constructive comments on a previous version of this article. Finally, the authors thank Shuba Srinivasan for providing the data. The model presented in this article is implemented in Ox 3.4 (Doornik 1999). DENNIS FOK, CSILLA HORVÁTH, RICHARD PAAP, and PHILIP HANS FRANSES*