Using cointegration analysis for modeling marketing interactions in dynamic environments: methodological issues and an empirical illustration

The authors argue that cointegration analysis is an intriguing development for analyzing marketing interactions in dynamic environments. Methodologica lly, the use of cointegration analysis requires statistical tests to determ ine whether this technique is appropriate for the system under investigatio n and, if it is appropriate, other statistical tests are needed to interpre t the results. The authors collate a set of statistical tests and technique s to advance a comprehensive methodological framework that utilizes cointeg ration analysis to examine marketing interactions in dynamic environments. The framework is useful for analyzing marketing parameter functions with ti me-varying coefficients to investigate the relationship between market perf ormance (e.g., sales, market share), marketing effort (e.g., advertising, s ales promotion), and environmental conditions (e.g., market growth, inflati on). The authors illustrate the utility of the framework for the famous cas e of Lydia Pinkham Medicine Company (LPMC). (C) 2000 Elsevier Science Inc. All rights reserved.