Estimation and Testing
Routing Summary
Covers OLS, GLS, SUR, 2SLS, Bayesian HB/EB estimation; specification testing; flexible forms; model selection.
- OLS, GLS, SUR, 2SLS, 3SLS, Bayesian HB/EB, IV, Hausman test → Parameter Estimation in Market Response
- F-test, t-test, RESET, 7 specification errors, autocorrelation, Box-Cox → Model Testing and Specification
- Translog, Box-Cox transformation, LOESS, splines → Flexible Functional Forms
- AIC, BIC, cross-validation, managerial calibration, pre-registration → Model Selection and Exploratory Analysis
Concept Map
| Concept | Note | Type | Depends On | Key Result |
|---|---|---|---|---|
| Parameter estimation toolkit | Parameter Estimation in Market Response | concept | Design of Static Response Models, Design of Dynamic Response Models, Functional Forms in Marketing, Market Share Models | OLS, GLS/FGLS, SUR, 2SLS/3SLS, Bayesian HB/EB estimation toolkit |
| Model testing & specification | Model Testing and Specification | concept | Parameter Estimation in Market Response | Validates models via F-tests, t-tests, RESET, and seven error types |
| Flexible functional forms | Flexible Functional Forms | concept | Functional Forms in Marketing, Parameter Estimation in Market Response | Second-order approximations without parametric commitments |
| Model selection & EDA | Model Selection and Exploratory Analysis | concept | Model Testing and Specification, Flexible Functional Forms, Parameter Estimation in Market Response | Choose forms, lags, and variables via AIC, BIC, cross-validation |
Notes
- Parameter Estimation in Market Response — CONTAINS: variable classification (exogenous/predetermined/current endogenous), OLS with eight Gauss-Markov assumptions, generalized least squares (GLS/FGLS), seemingly unrelated regressions (SUR), 2SLS and 3SLS, indirect least squares (ILS), Bayesian posterior estimation, hierarchical Bayes (HB) shrinkage estimator, empirical Bayes (EB), and the Hausman endogeneity test.
- Model Testing and Specification — CONTAINS: F-test for model significance, t-test for individual coefficients, Ramsey RESET test for general misspecification, the seven specification-error types, restricted least squares, nested vs non-nested tests, Durbin-Watson statistic, and the Box-Cox test for functional form.
- Flexible Functional Forms — CONTAINS: translog (transcendental logarithmic) form, Box-Cox power transformation, locally weighted regression (LOESS), and regression splines.
- Model Selection and Exploratory Analysis — CONTAINS: information criteria (AIC, BIC), hold-out cross-validation, manager elicitation, exploratory data analysis (EDA), and multiple-testing / garden-of-forking-paths cautions with pre-registration.