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 analyse profit persistence in two different samples of stationary series: 85 surviving US companies from 1950–1999 and 72 exiters. While...

In this paper we study the zero frequency spectral properties of fractionally cointegrated long memory processes and introduce a new frequency domain principal components estimator of the cointegration space and the factor loading matrix for the long memory factors. We find that for fractionally...