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Department of Statistics, The Ohio State University
Statistics and Biostatistics Colloquium Series
Estimating State-Space Models of Consumer Behavior: A
Hierarchical Bayes Approach
Greg M. Allenby and Ling-Jing Kao
Fisher College of Business
The Ohio State University
3:30PM - Thursday, September 30, 2004
Room 170, Eighteenth Avenue Bldg. (EA 170)
ABSTRACT
Bayesian data augmentation is developed for models with discrete
dependent variables and latent auto-correlated variables.
The proposed estimator has wide application, including models
of discrete choice, models of forward-looking behavior, and
models where the evolution of the latent variable does not have
a closed-form representation. Direct marketing data is used to
illustrate use of the method in a model where latent inventory
levels are assumed to affect customer purchase and resignation
decisions. Extensions to other marketing models are discussed.
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