Peter E. Rossi

Publications143
h-index50
Citations15,631
Highly Influential Citations1,183
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Bayesian Analysis of Stochastic Volatility Models
New techniques for the analysis of stochastic volatility models in which the logarithm of conditional variance follows an autoregressive model are developed. A cyclic Metropolis algorithm is used to… Expand
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Bayesian Statistics and Marketing
Bayesian methods have become widespread in marketing literature. We review the essence of the Bayesian approach and explain why it is particularly useful for marketing problems. While the appeal of… Expand
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Plausibly Exogenous
Instrumental variable (IV) methods are widely used to identify causal effects in models with endogenous explanatory variables. Often the instrument exclusion restriction that underlies the validity… Expand
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Bayesian analysis of stochastic volatility models with fat-tails and correlated errors
Abstract The basic univariate stochastic volatility model specifies that conditional volatility follows a log-normal auto-regressive model with innovations assumed to be independent of the… Expand
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Optimal Taxation in Models of Endogenous Growth
We study the problem of optimal taxation in three infinite-horizon, representative-agent endogenous growth models. The first model is a convex model in which physical and human capital are perfectly… Expand
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Marketing models of consumer heterogeneity
The distribution of consumer preferences plays a central role in many marketing activities. Pricing and product design decisions, for example, are based on an understanding of the differences among… Expand
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An exact likelihood analysis of the multinomial probit model
Abstract We develop new methods for conducting a finite sample, likelihood-based analysis of the multinomial probit model. Using a variant of the Gibbs sampler, an algorithm is developed to draw from… Expand
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Why Don't Prices Rise During Periods of Peak Demand? Evidence from Scanner Data
We examine retail and wholesale prices for a large supermarket chain over seven and one-half years. We find that prices fall on average during seasonal demand peaks for a product, largely due to… Expand
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The Value of Purchase History Data in Target Marketing
An important aspect of marketing practice is the targeting of consumer segments for differential promotional activity. The premise of this activity is that there exist distinct segments of… Expand
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Determinants of Store-Level Price Elasticity
Using weekly scanner data representing 18 product categories, the authors estimated store-specific price elasticities for a chain of 83 supermarkets. They related these price sensitivities to a… Expand
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