Structural Equation Modeling (SEM) is an extremely broad and flexible framework for data analysis, perhaps better thought of as a family of related methods rather than as a single technique. What is its relevance to Marketing Research?
Despite the popularity of Regression, it is also misunderstood. Why? The answer might surprise you: There is no such thing as Regression. Rather, there are a large number of statistical methods that are called Regression, all of which are based on a shared statistical foundation.
Time series analysis is a complex subject but, in short, when we use our usual cross-sectional techniques such as regression on time series data, variables can appear "more significant" than they really are and we are not taking advantage of the information the serial correlation in the data provides.
This interview between Professor Andrew Gelman of Columbia University and marketing scientist Kevin Gray covers the basics of Bayesian statistics and how it differs from the ordinary statistics most of us learned in college.