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The Statistical Properties of the Equity Estimator

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  • Hill, R Carter
  • Cartwright, P A

Abstract

The equity estimator, proposed by L. Krishnamurthi and A. Rangaswamy (1987), is shown to be inconsistent and to not necessarily improve upon the mean square error of the least squares estimator. A Monte Carlo experiment, based on the price-promotion model marketing research, with marketing data, is performed. The mean square error of the equity estimator is compared to that of two empirical Bayes estimators and the least square estimator. The empirical Bayes estimators have substantially smaller mean square error than the equity estimator in almost every case.

Suggested Citation

  • Hill, R Carter & Cartwright, P A, 1994. "The Statistical Properties of the Equity Estimator," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(2), pages 141-147, April.
    • Handle: RePEc:bes:jnlbes:v:12:y:1994:i:2:p:141-47
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    Cited by:

    1. Fok, Dennis & Franses, Philip Hans, 2001. "Forecasting market shares from models for sales," International Journal of Forecasting, Elsevier, vol. 17(1), pages 121-128.
    2. Lu, Huidi & van der Lans, Ralf & Helsen, Kristiaan & Gauri, Dinesh K., 2023. "DEPART: Decomposing prices using atheoretical regression trees," International Journal of Research in Marketing, Elsevier, vol. 40(4), pages 781-800.

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