Pure and Inter-Period Interaction Effects in Multi-Period Attribution

Description

Past articles have provided empirical and mathematical evidence of the “exactness” of various attribution linkink methodologies.  The differences between these methodologies are due principally to each method’s definition of a multi-period effect with regard to where inter-period cross products are included.  In single-period Attribution, we track the excess effect created by one type of effect when it is impacted by another type as Interaction and assigns it as appropriate.  By dissecting multi-period effects into pure and inter-period-interaction (IPI) effects, one can offer similar flexibility in multi-period computations, or at the very least better understand the source and materialty of these Inter-Period Interaction effects and where they are assigned in one’s chosen methodology.

Pure and Inter-Period Interaction Effects in Multi-Period Attribution.