Recovering Micro Parameters from Aggregate Data for the Koyck and Brand Loyal Models

Abstract

The authors investigate the measurement of the sales-advertising relationship with temporally aggregated data. Previous work has produced encouraging results for recovering micro-level parameters of the brand loyal model from data aggregated over time, but the Koyck model has not been studied in this context. The authors develop methods for recovering micro parameters of the Koyck model and extend the results for the brand loyal model. The results are supported by simulation experiments examining both asymptotic and small-sample properties.