We propose to estimate the parameters of the Market Share Attraction Model (Cooper & Nakanishi, 1988; Fok & Franses, 2004) in a novel way by using a non-parametric technique for function estimation called Support Vector Regressions (SVR) (Vapnik, 1995; Smola, 1996). Traditionally, the parameters of the Market Share Attraction Model are estimated via a Maximum Likelihood (ML) procedure, assuming that the data are drawn from a conditional Gaussian distribution. However, if the distribution is unknown, ML estimation may seriously fail (Vapnik, 1982). One way to tackle this problem is to introduce a linear loss function over the errors and a penalty on the magnitude of model coefficients. This leads to qualities such as robustness to outliers and avoidance of the problem of over¯tting. This kind of estimation forms the basis of the SVR technique, which, as we will argue, makes it a good candidate for solving the Market Share Attraction Model. We test the SVR approach to predict (the evolution of) the market shares of 36 car brands simultaneously and report stronger results than when using a ML estimation procedure.

Additional Metadata
Persistent URL hdl.handle.net/1765/8528
Series Econometric Institute Research Papers
Journal Report / Econometric Institute, Erasmus University Rotterdam
Nalbantov, G.I, Franses, Ph.H.B.F, Bioch, J.C, & Groenen, P.J.F. (2007). Estimating the market share attraction model using support vector regressions. (No. EI 2007-06). Report / Econometric Institute, Erasmus University Rotterdam. Retrieved from http://hdl.handle.net/1765/8528