Firm survival and time aggregation bias
This note provides some evidence of the sensitivity of firm survival duration dependence to time aggregation, when durations are Weibull distributed. The results indicate that estimates of duration dependence are always positively biased: This bias increases with the width of time aggregation window and decreases with the length of expected durations. On the other hand, time aggregation does not seem to have drastic effect on the regression parameter estimates. These results are unaffected by the time aggregation mechanism.
Year of publication: |
2008
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Authors: | Siriopoulos, Costas ; Lalountas, Dionysis Antonios |
Published in: |
Applied Financial Economics Letters. - Taylor and Francis Journals, ISSN 1744-6546. - Vol. 4.2008, 5, p. 351-354
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Publisher: |
Taylor and Francis Journals |
Saved in:
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