Forecasts of market shares from VAR and BVAR models: a comparison of their accuracy |
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| Institution: | 1. Department of Economics and CIREQ, McGill University, Montreal, Quebec H3A 2T7, Canada;2. Economie Publique, AgroParisTech, INRA, Université Paris Saclay, 78850 Thiverval-Grignon, France;3. EconomiX (UMR CNRS 7235), Université Paris Nanterre, France;4. CESifo, Munich, Germany;1. Eindhoven University of Technology, Innovation, Technology Entrepreneurship & Marketing Group, Den Dolech 2, PO Box 513, 5600 MB Eindhoven, The Netherlands;2. Erasmus School of Economics, Erasmus University Rotterdam, The Netherlands;3. IESE Business School Universidad de Navarra, Barcelona, Spain |
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| 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 BVAR models generally produce more accurate forecasts. 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 three univariate models. Additionally, competitive dynamics are revealed through variance decompositions and impulse response analyses. |
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