Habit, aggregation and long memory: evidence from television audience data
Abstract:Many economic outcomes appear to be influenced by habit or commitment, giving rise to persistence. In cases where the decision is binary and persistent, the aggregation of individual time series can result in a fractionally integrated process for the aggregate data. Certain television programmes appear to engender commitment on the part of viewers and the decision to watch or not is clearly binary. We report an empirical analysis of television audience data and show that these series can be modelled as I(d) processes. We also investigate the proposition that temporal aggregation of a fractionally-integrated series leaves the value of d unchanged.
Document Type: Research Article
Affiliations: 1: Cardiff Business School, University of Cardiff, Cardiff CF1 3EU, Wales, UK 2: Lancaster University Business School, Lancaster, LA1 4YX, UK 3: The School of Management and Business, Aberystwyth, Ceredigion SY23 3DD, UK
Publication date: 2007-02-01