Long run persistence in company profits is analyzed for 156 US companies over a fifty-year period using AR1 and structural time series tests. A statistically significant degree of consitstency is found between them in identifying firms persistently above or below the competitive norm. However, the structural time series method detects a higher overall incidence of persistence, with nearly 70% of firms classed as not having converged on Zero, compared with 46% under AR1 estimation. The recently proposed structural approach is seen as a useful additional tool in analysing earnings dynamics, in particular where are complex trends and other dynamic complexities.
Download Info
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
page. Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
Publisher Info
Paper provided by University of Vienna, Department of Economics in its series Vienna Economics Papers with number
0409.