In market share analysis, it is fully recognized that we have often inadmissibly predicted market share, which means that some of predictors take the values outside the range [0, 1] and the total sum of predicted shares is not always one, so‐called “logical inconsistency”. Based on the Bayesian VAR model, proposes a dynamic market share model with logical consistency. The proposed method makes it possible to forecast not only the values of market share themselves, but also various dynamic market share relations across different brands or companies. The daily scanner data from the Nikkei POS information system are analyzed by the proposed method.
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