Quotation Gschwandtner, Adelina, Hauser, Michael. 2008. Modelling Profit Series: Nonstationarity and long Memory. Applied Economics 40 (11): 1475-1482.


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Abstract

The dynamic structure of profit rates for 156 US manufacturing companies is analysed by means of fractional integration techniques as an alternative to the commonly used ARIMA models with respect to the 'persistence of profits'. Thereby the pseudo-spectral density aproach of Velasco and Robinson together with model selection criteria is applied. The results show despite the short lengths of the series and tests for the integer degrees of integration that 35.5 percent of the series may be well-approximated by long-range dependent processes, and 54 percent are nonstationary. This is a confirmation of the strong challenge to the competitive environment hypothesis obtained by previous studies.

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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Journal article
Journal Applied Economics
Citation Index SSCI
WU Journalrating 2009 A
WU-Journal-Rating new FIN-A, VW-D
Language English
Title Modelling Profit Series: Nonstationarity and long Memory
Volume 40
Number 11
Year 2008
Page from 1475
Page to 1482
Reviewed? Y
URL http://www.tandfonline.com/doi/abs/10.1080/00036840600794355

Associations

People
Gschwandtner, Adelina (Former researcher)
Hauser, Michael (Details)
Organization
Institute for Statistics and Mathematics IN (Details)
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