Testing for unit roots in seasonal time series

Ghysels, Éric; Lee, Hahn S.; Noh, Jaesum

doi:10.1016/0304-4076(94)90030-2

Cited by 174 publications

(36 citation statements)

References 17 publications

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“…The deterministic time trend is added to isolate the stochastic trend (Enders 2003), and the seasonal dummies provide good size estimates of the Dickey-Fuller test in seasonal series (Ghysels et al 1994). The coefficient of interest is γ; the t-statistic testing γ = 0 is the Dickey-Fuller test for a unit root (evolution) against a trend-stationary alternative.…”

Section: Timing Of the Move From Free To Feementioning

confidence: 99%

Moving from Free to Fee: How Online Firms Market to Change Their Business Model Successfully

Pauwels

Weiss

2008

Journal of Marketing

124

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Moving from free to 'free & fee' for any product or service represents a challenge to managers, especially when consumers have plenty of free alternatives. For one online content provider, this paper examines (1) the sources of long-run revenue loss (through attracting fewer free subscribers) and (2) how the firm's marketing actions affect its revenue gains (through attracting paid subscribers). The authors quantify revenue loss from several sources, including the direct effects of charging for part of the online content and the reduced effectiveness of search engine referrals and emails. Their analysis suggests several managerial implications. First, managers should focus their price promotions towards stimulating new monthly subscriptions, instead of the current promotional focus on stimulating new yearly contracts. In contrast, email and search engine referrals appear very effective at generating yearly subscriptions. Meanwhile, 'free to fee' conversion email blasts are a double-edged sword: they increase subscription revenue at the expense of advertising revenue. Finally, further analysis shows the move was preceded by the build-up of momentum in new free subscriptions, which appears beneficial for the move's success. The decomposition and comparison of the sources of revenue loss versus gains reveals several tradeoffs facing companies moving from free to 'free & fee'.Keywords: from free to fee, online content, price, marketing communication, searchengine referrals, time series analysis, vector-autoregressive models. IntroductionA decade ago, Peterson, Balasubramanian, and Bronnenberg (1997) A prominent fear among content providers is the likely loss of customers to the many still free competitors. Moreover, the impact of marketing actions to stimulate paid subscriptions is uncertain given the general consensus among web surfers that "content is free" (Dyson 1995). Empirical findings on these issues are scarce, as firms feel uneasy sharing data with academic researchers for confidentiality and competitive reasons. When The NY Times moved to a paid version of its editorial pages, one reader commented, "The only thing the NYTimes will achieve is a reduced readership for its writers. No one will, nor should we, pay for online content. It's a big, free web out there."The ultimate abandonment of the payment system (on September 19, 2007) appears to vindicate these arguments, and illustrates the challenge content providers face online.In sum, despite high managerial importance, little empirical research has addressed the following questions facing companies moving from free to 'free & fee': 1) What are the long-run performance effects of such a move?In particular, what are the sources of revenue loss that may offset the revenue gains from user fees?2) What role do marketing actions play in the free-and fee-user response? In particular, which actions are especially successful in increasing free and fee subscriptions, for both short-term and long-term contracts?This research aims to shed light on these issues by fo...

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Section: Timing Of the Move From Free To Feementioning

confidence: 99%

Moving from Free to Fee: How Online Firms Market to Change Their Business Model Successfully

Pauwels

Weiss

2008

Journal of Marketing

124

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“…Table 1 presents results for the LLC, MW and IPS tests including individual …xed e¤ects in the deterministic component of (3), since this is the speci…cation consistent with the PPP hypothesis. Following Ghysels, Lee, and Noh (1994), who analyse the performance of unit root tests applied to seasonal time series, we have set the order of the autoregressive correction equal to p = 12. Panel A reproduces the test statistics and the corresponding p-values from the standard distributions, that is, imposing cross-section independence.…”

Section: Resultsmentioning

confidence: 99%

Evidence on the purchasing power parity in a panel of cities

2004

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in EconStor may AbstractWe provide evidence on the PPP hypothesis using a sample of …fty Spanish cities for a long time period through the application of panel data unit root tests. Although results suggest non-rejection of the PPP, short-run deviations -as measured by half-lives-indicate that real factors might be causing a slow rate of convergence to a common price index, even in highly integrated economies.

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“…Para analizar la relación de largo plazo entre las respectivas series, lo primero que se debe realizar es identificar su orden de integración. Diferentes autores han encontrado que las pruebas de raíces unitarias no tienen las propiedades deseables en presencia de raíces estacionales (Ghysels, Lee & Noh, 1994). Por tal razón, las ocho series empleadas fueron filtradas de acuerdo a los resultados de la prueba HEGY (Hylleberg et al, 1990), de manera que la serie tuviese únicamente una raíz no estacional.…”

Section: Aproximación Econométricaunclassified