Time Series Analysis: A Primer

Two popular univariate time series methods are Exponential Smoothing (e.g., Holt-Winters) and ARIMA(Autoregressive Integrated Moving Average). Causal variables will typically include data such as GRPs and price and also may incorporate data from consumer surveys or exogenous variables such as GDP. Vector Autoregression (VAR), the Vector Error Correction Model (VECM) and the more general State Space framework are three frequently-used approaches to multiple time series analysis. Causal data can be included and Market Response/Marketing Mix modeling conducted.