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A La Recherche des Moments Perdus: Covariance Models for Unbalanced Panels with Endogenous Death

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Author Info
John M. Abowd
Bruno Crepon
Francis Kramarz
Alain Trognon

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Abstract

We develop a model for decomposing the covariance structure of panel data on firms into a part due to permanent heterogeneity, a part due to differential histories with unknown ages, and a part due to the evolution of economic shocks to the firm. Our model allows for the endogenous death of firms and correctly handles the problems arising from the estimation of this death process. We implement this model on an unbalanced longitudinal sample of French firms which have both known and unknown ages and histories. For firms with unknown birthdates, we find that the structural autocorrelation in employment, compensation and capital is dominated by the part due to initial heterogeneity and random growth rates. Serial correlation in the periodic shocks is less important. For these firms, profitability, value-added and indebtedness have processes in which the heterogeneity components are less important. Firms with known birthdates and histories (which are younger than the censored firms) have autocorrelation structures dominated by the heterogeneity.

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Paper provided by National Bureau of Economic Research, Inc in its series NBER Technical Working Papers with number 0180.

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Date of creation: May 1995
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Handle: RePEc:nbr:nberte:0180

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Find related papers by JEL classification:
C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data
J0 - Labor and Demographic Economics - - General

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  1. Dunne, Timothy & Roberts, Mark J & Samuelson, Larry, 1989. "Plant Turnover and Gross Employment Flows in the U.S. Manufacturing Sector," Journal of Labor Economics, University of Chicago Press, vol. 7(1), pages 48-71, January. [Downloadable!] (restricted)
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  2. Steven J. Davis & John Haltiwanger, 1990. "Gross Job Creation and Destruction: Microeconomic Evidence and Macroeconomic Implications," NBER Chapters, in: NBER Macroeconomics Annual 1990, Volume 5, pages 123-186 National Bureau of Economic Research, Inc. [Downloadable!]
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  1. Keisuke Hirano & Guido W. Imbens & Geert Ridder & Donald B. Rubin, 1998. "Combining Panel Data Sets with Attrition and Refreshment Samples," Tinbergen Institute Discussion Papers 98-033/4, Tinbergen Institute. [Downloadable!]
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  2. Winter, Joachim, 1998. "Does Firms` Financial Status Affect Plant-Level Investment and Exit Decision," Sonderforschungsbereich 504 Publications 98-48, Sonderforschungsbereich 504, Universität Mannheim & Sonderforschungsbereich 504, University of Mannheim. [Downloadable!]
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  3. Bhattacharjee, A. & Higson, C. & Holly, S. & Kattuman, P., 2004. "Business Failure in UK and US Quoted Firms: Impact of Macroeconomic Instability and the Role of Legal Institutions," Cambridge Working Papers in Economics 0420, Faculty of Economics, University of Cambridge. [Downloadable!]
  4. John M. Abowd & Francis Kramarz & Antoine Moreau, 1995. "Product Quality and Worker Quality," NBER Working Papers 5077, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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