Template-type: ReDIF-Paper 1.0
Author-Name: José Casals Carro
Author-Workplace-Name: Universidad Complutense de Madrid. Departamento de Fundamentos del Análisis Económico II.
Author-Name: Miguel Jerez Méndez 
Author-Email: mjerez@ccee.ucm.es
Author-Workplace-Name: Universidad Complutense de Madrid. Departamento de Fundamentos del Análisis Económico II. 
Author-Name: Sonia Sotoca López  
Title: Decomposition of state-space Model with inputs: The theory and an application to estimate 
	the ROI of advertising 
Abstract: This paper shows how to compute the in-sample effect of exogenous inputs on the endogenous 
	variables in any linear model written in state-space form. Estimating this component may be, 
	either interesting by itself, or a previous step before decomposing a time series into trend, 
	cycle, seasonal and error components. The practical application and usefulness of this method 
	is illustrated by estimating the effect of advertising on monthly sales of the Lydia Pinkham 
	vegetable compound.
Classification-JEL: C320; C530
Keywords: State-space, Signal extraction, Time series decomposition, Seasonal adjustment, Advertising, Lydia Pinkham
Length: 26 pages 
Creation-Date: 2006
X-File-Ref: http://america.sim.ucm.es/repec/ucm/ref/doicae0602.txt 
File-URL: https://eprints.ucm.es/id/eprint/7910/1/0602.pdf
File-Format: Application/pdf
Handle: RePEc:ucm:doicae:0602