Quotation Crespo Cuaresma, Jesus, Gschwandtner, Adelina. 2005. The competitive environment hypothesis revisited: Nonlinearity, nonstationarity and profit persistence. Applied Economics 38 (4/10): 465-472.


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Abstract

Much empirical literature dealing with the competitive environment hypothesis tends to find nonstationary behaviour and very high persistence in time series of company profits. Profit time series is modelled using a simple threshold autoregressive model that allows for nonstationary behaviour over subsamples. Using a new dataset consisting of profits for more than 150 US companies over a time period of 50 years, statistical evidence is presented that the high persistence observed in profits when using linear autoregressive models is often due to the misspecification of the data generating process.

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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 The competitive environment hypothesis revisited: Nonlinearity, nonstationarity and profit persistence
Volume 38
Number 4/10
Year 2005
Page from 465
Page to 472
Reviewed? Y
URL http://www.tandfonline.com/doi/abs/10.1080/00036840500390312

Associations

People
Crespo Cuaresma, Jesus (Details)
Gschwandtner, Adelina (Former researcher)
Organization
Institute for Statistics and Mathematics IN (Details)
Institute for Macroeconomics IN (Details)
Research Institute for Human Capital and Development FI (Details)
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