Dynamic competitive models of industry evolution predict higher variability of firm value over time and lower variability of firm activity over time in industries where sunk entry costs are higher. These predictions have done well empirically. Here we extend the theory to allow an additional...

Dynamic competitive models of industry evolution suggest that firm profit will be more volatile and turnover will be lower in industries with higher sunk costs. These implications are consistent with empirical observation.

The dynamic structure of profit rates for 156 US manufacturing companies is analyzed by means of fractional integration techniques as an alternative to the commolny used ARMIA models with respect to the "persistence of profits". The results show - despite the short lengths of the series - that...

The present paper analyzes the determinants of profit persistence using a newly developed methodology that allows for the persistence parameter to vary with time. It therefore addresses a significant limitation of previous persistence models, which have assumed unrealistically that persistence...

Much empirical lierature dealing with the competitive environment hypothesis tends to find nonstationary behaviour and very high persistence in time series of company profits. We model profit time series using a simple time series model that allows for nonstationary behavior over subsamples, but...

This paper proposes a simple approach to analyzing pro¯t dynam- ics which allows for time-varying persistence of pro¯ts. The time se- ries model is a simple autoregressive process where the dynamics of the persistence parameter follow an autoregressive or random walk pro- cess. Using the...

One of the main shortcomings of the profit persistence literature is the fact that it looks only at surviving companies. This paper uses a unique dataset to analyze profit persitstence in two different stationary series: 85 surviving US companies from 1950-1999 and 72 exiters. While the exiters...

Weak convergence results for sample averages of nonlinear functions of (discrete-time) stochastic processes satisfying a functional central limit theorem (e.g., integrated processes) are given. These results substantially extend recent work by Park and Phillips (1999) and de Jong (2001), in that...

This note presents new results on existence of rich Fubini extensions. The notion of a rich Fubini extension was recently introduced by Sun (2006) and shown by him to provide the proper framework to obtain an exact law of large numbers for a continuum of random variables. In contrast to the...