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Modeling Profit Series: Nonstationarity and Long Memory

[journal article]

Gschwandtner, Adelina
Hauser, Michael A.

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)


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© 2007 - 2025 Social Science Open Access Repository (SSOAR).
Based on DSpace, Copyright (c) 2002-2022, DuraSpace. All rights reserved.