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Modeling Profit Series: Nonstationarity and Long Memory
[journal article]
Abstract The dynamic structure of profit rates for 156 US manufacturing companies is
analyzed 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 Robinso... view more
The dynamic structure of profit rates for 156 US manufacturing companies is
analyzed 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 (d=0,1) -
that 35.5% of the series may well be approximated by long range
dependent processes, and 54\% are nonstationary. This is a confirmation of the
strong challenge to the competitive environment hypothesis obtained by
previous studies.... view less
Document language
English
Publication Year
2008
Page/Pages
p. 1475-1482
Journal
Applied Economics, 40 (2008) 11
DOI
https://doi.org/10.1080/00036840600794355
Status
Postprint; peer reviewed
Licence
PEER Licence Agreement (applicable only to documents from PEER project)