MSC. THESIS DEFENSE LUUK APPELS

(1)

Exploring the Use of a Dynamic Hierarchical Factor Model in a Marketing Context: Toward a New Way of Modeling in Marketing Science

(2)

• Findings

• Contributions

• Limitations

(3)

• Results of the Impulse Response and the price forecasts were not spectacular

• Variance decomposition revealed that

• There indeed exists some co-movement between prices/promo of different brands in a store.

• Some co-movement exists between prices/promo of different chains

• Very little co-movement exists between price and promo at the market level, except for maybe Albert Heijn.

• Concerning the FAVAR, we established that

• Adding factors = better results

(4)

• Pioneer the DHFM in a marketing context and prove the use of its tools. In this case, especially the variance decomposition.

(5)

• Simple version of DHFM used for this research

• à select optimal number of lags and extract more factors.

• Generalizability is questionable

• à More similar studies should be done, covering more data.

• Too little regressions run for the FAVAR

• à run the full 1 million regressions

• Treating W endogenously in the FAVAR is not statistically correct

(6)

• Independently work on a project of serious scale and time investment

• MATLAB, R + some additional statistics

(7)