We develop an econometric model for firm exit, using stochastic dynamic programming (SDP) as a starting point. According to SDP, the value of an operating firm can be written as the sum of (i) the net present value of continuing production if the firm is committed to a future exit date, and (ii)...

The econometric literature offers various modeling approaches for analyzing micro data in combination with time series of aggregate data. This paper discusses the estimation of a VAR model that allows unobserved heterogeneity across observation unit, as well as unobserved time-specific...

How do firms differ, and why do they differ even within narrowly defined industries? Using evidence from six high-tech, manufacturing industries covering a 24-year period, we show that differences in sales, materials, labor costs and capital across firms can largely be summarized by a single,...

This paper discusses identification, estimation and testing in panel data models with attrition. We focus on a situation which often occurs in the analysis of firms: Attrition (exit) is endogenous and depends on the outcomes of an observed stochastic process and the interest-parameters...

We consider a Seemingly Unrelated Time Series Equations framework for the linear Almost Ideal Demand system. The framework is applied to a consumer demand system covering nine non-durable commodities. We test for demand homogeneity within a specification where the static linear Almost Ideal...

We propose a new method for estimating capital stocks at the firm level by combining business accounts information and investment data. The method also produces capital estimates at the sector or industry level by summing individual firms' capital stocks and appropriately inflating this sum to...

How do firms differ, and why do they differ even within narrowly defined industries? Using evidence from a new panel data set for four high-tech, manufacturing industries covering a 10-year period, we show how differences in sales, materials, labor costs and capital across firms can be...

This paper describes firms' output and factor demand before, during and after episodes of lumpy investments using a rich employer-employee panel data set for two manufacturing industries and one service industry. We focus on the simultaneous adjustment of capital, materials, man-hours, as well...

We use the Stock and Wise approximation of stochastic dynamic programming in order to identify the extent to which profitability can explain exit behavior. In our econometric model, heterogeneous firms engage in Bertrand (price) competition. Firms produce heterogeneous products, using labor,...

In this paper we develop a full information maximum likelihood method for the estimation of a joint model for the choice of length of schooling and the corresponding earnings equation. The model for schooling is assumed to be an ordered probit model, whereas the earnings equation is allowed to...